Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios
Ludger Rüschendorf
| Year of publication: |
2013
|
|---|---|
| Authors: | Rüschendorf, Ludger |
| Publisher: |
Berlin : Springer |
| Subject: | Operations Research | Operations research | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Risikotheorie | Stochastisches Modell |
| Description of contents: | Table of Contents [gbv.de] ; Description [loc.gov] ; Description [loc.gov] ; Description [deposit.dnb.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Extent: | XII, 408 S. Ill., graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Copulas, Sklar's Theorem, and Distributional TransformFréchet Classes, Risk Bounds, and Duality TheoryConvex Order, Excess of Loss, and ComonotonicityBounds for the Distribution Function and Value at Risk of the Joint PortfolioRestrictions on the Dependence StructureDependence Orderings of Risk Vectors and PortfoliosRisk Measures and Worst Case PortfoliosRisk Measures for Real RisksRisk Measures for Portfolio VectorsLaw Invariant Convex Risk Measures on Lpd and Optimal Mass TransportationOptimal Risk AllocationOptimal Allocations and Pareto EquilibriumCharacterization and Examples of Optimal Risk Allocations for Convex Risk FunctionalsOptimal Contingent Claims and (Re)insurance ContractsOptimal Portfolios and Extreme RisksOptimal Portfolio Diversification w.r.t. Extreme RisksOrdering of Multivariate Risk Models with Respect to Extreme Portfolio Losses. |
| ISBN: | 3-642-33589-6 ; 978-3-642-33589-1 ; 978-3-642-33590-7 |
| Classification: | Investition, Finanzierung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009729189