Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of speci...
Enregistré dans:
| Hovedforfatter: | |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer
[20..].
Cham : Springer Nature |
| Serier: | Springer Series in Operations Research and Financial Engineering
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| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
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Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Mathematical risk analysis, dependence, risk bounds, optimal allocations and portfolios, Ludger Rüschendorf., Berlin, Springer, 2013, 1 vol. (XII-408 p.), Springer Series in Operations Research and Financial Engineering, 978-3-642-33589-1, Texte imprimé |
Indholdsfortegnelse:
- Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform 2 Fréchet Classes, Risk Bounds, and Duality Theory 3 Convex Order, Excess of Loss, and Comonotonicity 4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio 5 Restrictions on the Dependence Structure 6 Dependence Orderings of Risk Vectors and Portfolios Part II: Risk Measures and Worst Case Portfolios 7 Risk Measures for Real Risks 8 Risk Measures for Portfolio Vectors 9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation Part III: Optimal Risk Allocation 10 Optimal Allocations and Pareto Equilibrium 11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals 12 Optimal Contingent Claims and (Re)Insurance Contracts Part IV: Optimal Portfolios and Extreme Risks 13 Optimal Portfolio Diversification w.r.t. Extreme Risks 14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses References List of Symbols Index.