Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios / / by Ludger Rüschendorf |
Autore | Rüschendorf Ludger |
Edizione | [1st ed. 2013.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 |
Descrizione fisica | 1 online resource (413 p.) |
Disciplina | 520 |
Collana | Springer Series in Operations Research and Financial Engineering |
Soggetto topico |
Probabilities
Economics, Mathematical Actuarial science Applied mathematics Engineering mathematics Operations research Management science Statistics Probability Theory and Stochastic Processes Quantitative Finance Actuarial Sciences Applications of Mathematics Operations Research, Management Science Statistics for Business, Management, Economics, Finance, Insurance |
ISBN | 3-642-33590-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | 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. |
Record Nr. | UNINA-9910438156703321 |
Rüschendorf Ludger
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2013 | ||
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Lo trovi qui: Univ. Federico II | ||
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Wahrscheinlichkeitstheorie / / von Ludger Rüschendorf |
Autore | Rüschendorf Ludger |
Edizione | [1st ed. 2016.] |
Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer Spektrum, , 2016 |
Descrizione fisica | 1 online resource (VIII, 469 S. 48 Abb., 3 Abb. in Farbe.) |
Disciplina | 519.2 |
Collana | Masterclass |
Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
ISBN | 3-662-48937-6 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | ger |
Nota di contenuto | Grundlagen der Maß- und Integrationstheorie -- Stochastische Unabhängigkeit und Gesetze großer Zahlen -- Konstruktion von stochastischen Modellen -- Verteilungskonvergenz und zentraler Grenzwertsatz -- Bedingte Erwartungswerte und Martingale -- Einführung in stochastische Prozesse -- Index. |
Record Nr. | UNINA-9910483527703321 |
Rüschendorf Ludger
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Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer Spektrum, , 2016 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
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