05772nam 2200781Ia 450 991095621710332120240313222631.097866119185529781281918550128191855597898127087249812708723(CKB)1000000000554172(EBL)1193680(SSID)ssj0000303399(PQKBManifestationID)12115129(PQKBTitleCode)TC0000303399(PQKBWorkID)10276226(PQKB)11573321(WSP)00006478(Au-PeEL)EBL1193680(CaPaEBR)ebr10698939(CaONFJC)MIL191855(OCoLC)820944257(MiAaPQ)EBC1193680(Perlego)848879(FR-PaCSA)10208935(FRCYB10208935)10208935(EXLCZ)99100000000055417220070521d2007 uy 0engurcn|||||||||txtccrModeling, measuring and managing risk /Georg Ch. Pflug, Werner Romisch1st ed.Hackensack, N.J. World Scientificc20071 online resource (304 p.)Description based upon print version of record.9789812707406 9812707409 Includes bibliographical references (p. 277-284) and index.Preface; List of Symbols; Contents; 1. Modeling uncertain outcomes; 1.1 The three M's of decision making under uncertainty; 1.2 Probability models and scenario distributions; 1.2.1 Distribution functions and quantile functions; 1.2.2 Joint distributions and couplings; 1.2.3 Utility functions and order relations; 1.2.4 Compounding; 1.3 Standard statistical parameters; 1.3.1 Location parameters; 1.3.2 Dispersion parameters; 1.3.3 Correlation parameters; 2. Measuring single-period risk; 2.1 Probability functionals and their properties; 2.1.1 Properties of probability functionals2.1.2 Version-independent properties of probability functionals 2.2 Acceptability functionals and deviation risk functionals; 2.2.1 Acceptance sets for translation-equivariant functionals; 2.2.2 Dual representations of concave and convex functionals; 2.2.3 The average value-at-risk; 2.2.4 Kusuoka representations; 2.3 Conditional acceptability and risk mappings; 2.3.1 Version independent conditional acceptability mappings; 2.3.2 More about the conditional average value-at-risk; 2.4 Classes of version-independent acceptability-type functionals; 2.4.1 Expected utility2.4.2 Distortion functionals 2.4.3 Sup-convolutions; 2.4.4 Single-period polyhedral acceptability functionals; 2.4.5 Risk-corrected expectation and mean-risk models; 2.5 Classes of version-independent deviation-type functionals; 2.5.1 Deviation functionals of the form E[h(Y ¡ EY )]; 2.5.2 Deviation functionals of the form ||Y - EY||h; 2.5.3 Deviation functionals of the form ||[Y - EY ]-||h; 2.5.4 Deviation functionals of the form E[h(Y - Y')]; 2.5.5 Minimal loss risk functionals; 2.6 Summary; 3. Measuring multi-period risk; 3.1 Introduction to multi-period models3.1.1 Evolving information: filtrations and tree pro- cesses3.1.2 Dynamic acceptability functionals; 3.1.3 Introducing information into single-period functionals; 3.1.3.1 Expected conditional acceptability functionals; 3.1.3.2 Dual extension of single-period functionals; 3.2 Multi-period risk functionals: basic properties; 3.2.1 Dual representations of multi-period acceptability functionals; 3.2.2 Version-independent multi-period risk functionals; 3.3 Classes of multi-period acceptability functionals; 3.3.1 Separable functionals; 3.3.2 Risk functionals of the value-of-information type3.3.3 More about the multi-period average value-at-risk 3.3.4 Composition of conditional acceptability mappings; 3.3.5 Polyhedral multi-period acceptability functionals; 3.3.6 Polyhedral acceptability functionals in multi-stage stochastic programs; 3.4 Summary; 4. Single-stage decision models; 4.1 Stochastic optimization; 4.2 Efficient frontiers; 4.2.1 Simple deviation risk models; 4.2.2 Discrete models; 4.2.3 Standard deviation efficiency; 4.2.3.1 Introducing a risk-free asset; 4.2.4 Lower standard deviation efficiency; 4.2.5 Mean absolute deviation efficiency4.2.6 Average value-at-risk deviation efficiencyThis book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.Decision makingStatistical methodsFunctionalsStatistical methodsRisk assessmentStatistical methodsRisk managementStatistical methodsDecision makingStatistical methods.FunctionalsStatistical methods.Risk assessmentStatistical methods.Risk managementStatistical methods.658.4/033Pflug Georg Ch.1951-60249Romisch Werner948711MiAaPQMiAaPQMiAaPQBOOK9910956217103321Modeling, measuring and managing risk4341811UNINA