Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Rüschendorf.
Series: Springer series in operations researchPublication details: Berlin ; New York : Springer, 2013.Description: xii, 408 p. : ill. ; 25 cmISBN:- 9783642335891
- 3642335896
- 658.155 23
- HD61 .R86 2013
Item type | Current library | Home library | Call number | Copy number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|---|
![]() |
Ayesha Abed Library General Stacks | Ayesha Abed Library General Stacks | 658.155 RUS (Browse shelf(Opens below)) | 1 | Available | 3010029441 |
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.
There are no comments on this title.