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Mathematical Risk Analysis Dependence, Risk Bounds, Optimal Allocations and Portfolios /
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 speci...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2013.
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| Edición: | 1st ed. 2013. |
| Colección: | Springer Series in Operations Research and Financial Engineering,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.