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Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Rüschendorf.

By: Series: Springer series in operations researchPublication details: Berlin ; New York : Springer, 2013.Description: xii, 408 p. : ill. ; 25 cmISBN:
  • 9783642335891
  • 3642335896
Subject(s): DDC classification:
  • 658.155 23
LOC classification:
  • HD61 .R86 2013
Contents:
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.
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Holdings
Item type Current library Home library Call number Copy number Status Date due Barcode Item holds
Book Book Ayesha Abed Library General Stacks Ayesha Abed Library General Stacks 658.155 RUS (Browse shelf(Opens below)) 1 Available 3010029441
Total holds: 0

Includes bibliographical references (pages 385-398) and index.

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.

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