Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios /
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin ; New York :
Springer,
2013.
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| Schriftenreihe: | Springer series in operations research.
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| Schlagworte: | |
| Classic Catalogue: | View this record in Classic Catalogue |
Inhaltsangabe:
- Copulas, Sklar's Theorem, and Distributional Transform
- Fréchet Classes, Risk Bounds, and Duality Theory
- Convex Order, Excess of Loss, and Comonotonicity
- Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
- Restrictions on the Dependence Structure
- Dependence Orderings of Risk Vectors and Portfolios
- Risk Measures and Worst Case Portfolios
- Risk Measures for Real Risks
- Risk Measures for Portfolio Vectors
- Law Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation
- Optimal Risk Allocation
- Optimal Allocations and Pareto Equilibrium
- Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
- Optimal Contingent Claims and (Re)insurance Contracts
- Optimal Portfolios and Extreme Risks
- Optimal Portfolio Diversification w.r.t. Extreme Risks
- Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses.