Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Ruschendorf.
Material type:
TextSeries: Springer series in operations research and financial engineeringPublication details: Berlin : Springer-Verlag, 2013.Description: xii, 408 p. : illustrations ; 24 cmISBN: - 9783642335891 (hard cover : alk. paper)
- 23 R951 000SB:658.155
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| Books | ISI Library, Kolkata | 000SB:658.155 R951 (Browse shelf(Opens below)) | Available | 135593 |
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Includes bibliographical references and index.
Part I: Stochastic Dependence and Extremal Risk.-
1 Copulas, Sklar's Theorem, and Distributional Transform.-
2 Frechet 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.
The up-to-date material and logical structure of this volume provides the clarity and orientation needed to gain a solid working knowledge of mathematical risk analysis. It includes a specialized focus on the risk theory deployed in finance and insurance.
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