000 | 02219nam a2200361 i 4500 | ||
---|---|---|---|
001 | 29441 | ||
003 | BD-DhAAL | ||
005 | 20150802130806.0 | ||
008 | 150802s2013 gw a b 001 0 eng c | ||
010 | _a 2012953468 | ||
020 | _a9783642335891 | ||
020 | _a3642335896 | ||
020 | _z9783642335907 (electronic bk.) | ||
020 | _z364233590X (electronic bk.) | ||
035 | _a(OCoLC)ocn846852367 | ||
040 |
_aIAC _beng _cIAC _erda _dOHX _dCUD _dCOD _dOCLCF _dOCLCO _dYDXCP _dDLC _dBD-DhAAL |
||
042 | _alccopycat | ||
050 | 0 | 0 |
_aHD61 _b.R86 2013 |
072 | 7 |
_aHB _2lcco |
|
082 | 0 | 4 |
_a658.155 _223 |
100 | 1 |
_aRüschendorf, Ludger, _d1948- _913443 |
|
245 | 1 | 0 |
_aMathematical risk analysis : _bdependence, risk bounds, optimal allocations and portfolios / _cLudger Rüschendorf. |
260 |
_aBerlin ; New York : _bSpringer, _c2013. |
||
300 |
_axii, 408 p. : _bill. ; _c25 cm. |
||
490 | 1 |
_aSpringer series in operations research and financial engineering, _x1431-8598 |
|
504 | _aIncludes bibliographical references (pages 385-398) and index. | ||
505 | 0 | 0 |
_tCopulas, Sklar's Theorem, and Distributional Transform -- _tFréchet Classes, Risk Bounds, and Duality Theory -- _tConvex Order, Excess of Loss, and Comonotonicity -- _tBounds for the Distribution Function and Value at Risk of the Joint Portfolio -- _tRestrictions on the Dependence Structure -- _tDependence Orderings of Risk Vectors and Portfolios -- _tRisk Measures and Worst Case Portfolios -- _tRisk Measures for Real Risks -- _tRisk Measures for Portfolio Vectors -- _tLaw Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation -- _tOptimal Risk Allocation -- _tOptimal Allocations and Pareto Equilibrium -- _tCharacterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- _tOptimal Contingent Claims and (Re)insurance Contracts -- _tOptimal Portfolios and Extreme Risks -- _tOptimal Portfolio Diversification w.r.t. Extreme Risks -- _tOrdering of Multivariate Risk Models with Respect to Extreme Portfolio Losses. |
650 | 0 |
_aRisk management _xMathematical models. _913444 |
|
650 | 0 |
_aMathematical analysis. _913445 |
|
830 | 0 |
_aSpringer series in operations research. _913446 |
|
942 |
_2ddc _cBK |
||
999 |
_c35130 _d35130 |