Mathematical risk analysis: dependence, risk bounds, optimal allocations and portfolios
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | Springer series in operations research and financial engineering
|
| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783642335891 9783642335907 |
| DOI: | 10.1007/978-3-642-33590-7 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804150273860435968 |
|---|---|
| adam_text | MATHEMATICAL RISK ANALYSIS
/ RUESCHENDORF, LUDGER
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PREFACE.-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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
MATHEMATICAL RISK ANALYSIS
/ RUESCHENDORF, LUDGER
: 2013
ABSTRACT / INHALTSTEXT
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 SPECIAL RELEVANCE TO FINANCE AND INSURANCE. DESCRIBING THE
INFLUENCE OF DEPENDENCE IN MULTIVARIATE STOCHASTIC MODELS ON RISK
VECTORS IS THE MAIN FOCUS OF THE TEXT THAT PRESENTS MAIN IDEAS AND
METHODS AS WELL AS THEIR RELEVANCE TO PRACTICAL APPLICATIONS. THE FIRST
PART INTRODUCES BASIC PROBABILISTIC TOOLS AND METHODS OF DISTRIBUTIONAL
ANALYSIS, AND DESCRIBES THEIR USE TO THE MODELING OF DEPENDENCE AND TO
THE DERIVATION OF RISK BOUNDS IN THESE MODELS. IN THE SECOND, PART RISK
MEASURES WITH A PARTICULAR FOCUS ON THOSE IN THE FINANCIAL AND INSURANCE
CONTEXT ARE PRESENTED. THE FINAL PARTS ARE THEN DEVOTED TO APPLICATIONS
RELEVANT TO OPTIMAL RISK ALLOCATION, OPTIMAL PORTFOLIO PROBLEMS AS WELL
AS TO THE OPTIMIZATION OF INSURANCE CONTRACTS. GOOD KNOWLEDGE OF BASIC
PROBABILITY AND STATISTICS AS WELL AS OF BASIC GENERAL MATHEMATICS IS A
PREREQUISITE FOR COMFORTABLY READING AND WORKING WITH THE PRESENT
VOLUME, WHICH IS INTENDED FOR GRADUATE STUDENTS, PRACTITIONERS AND
RESEARCHERS AND CAN SERVE AS A REFERENCE RESOURCE FOR THE MAIN CONCEPTS
AND TECHNIQUES.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
| any_adam_object | 1 |
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-642-33590-7 |
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| spelling | Rüschendorf, Ludger 1948- Verfasser (DE-588)10867472X aut Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios Ludger Rüschendorf Berlin [u.a.] Springer 2013 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Springer series in operations research and financial engineering Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf Risikotheorie (DE-588)4135592-1 s Stochastisches Modell (DE-588)4057633-4 s DE-604 https://doi.org/10.1007/978-3-642-33590-7 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025940936&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025940936&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Rüschendorf, Ludger 1948- Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios Stochastisches Modell (DE-588)4057633-4 gnd Risikotheorie (DE-588)4135592-1 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4135592-1 |
| title | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios |
| title_auth | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios |
| title_exact_search | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios |
| title_full | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios Ludger Rüschendorf |
| title_fullStr | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios Ludger Rüschendorf |
| title_full_unstemmed | Mathematical risk analysis dependence, risk bounds, optimal allocations and portfolios Ludger Rüschendorf |
| title_short | Mathematical risk analysis |
| title_sort | mathematical risk analysis dependence risk bounds optimal allocations and portfolios |
| title_sub | dependence, risk bounds, optimal allocations and portfolios |
| topic | Stochastisches Modell (DE-588)4057633-4 gnd Risikotheorie (DE-588)4135592-1 gnd |
| topic_facet | Stochastisches Modell Risikotheorie |
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