Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios /
| প্রধান লেখক: | |
|---|---|
| বিন্যাস: | গ্রন্থ |
| ভাষা: | English |
| প্রকাশিত: |
Berlin ; New York :
Springer,
2013.
|
| মালা: | Springer series in operations research.
|
| বিষয়গুলি: | |
| Classic Catalogue: | View this record in Classic Catalogue |
সূচিপত্রের সারণি:
- 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.