Mathematical Risk Analysis

Dependence, Risk Bounds, Optimal Allocations and Portfolios

AvLudger Rüschendorf

Inbunden, Engelska, 2013

Del i serien Springer Series in Operations Research and Financial Engineering

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2013-03-20
Mått:155 x 235 x 29 mm
Vikt:793 g
Format:Inbunden
Språk:Engelska
Serie:Springer Series in Operations Research and Financial Engineering
Antal sidor:408
Upplaga:2013
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642335891

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Mer om författaren

Ludger Rüschendorf, Professor of Mathematical Stochastics, studied Mathematics, Physics and Economics in Münster. Diploma thesis 1972 - PhD 1974 in Hamburg in Asymptotic Statistics - Habilitation thesis 1979 in Aachen in the area of stochastic ordering, masstransportation and Fréchet bounds - Professorships in Germany: 1981-1987 in Freiburg, 1987-1993 in Münster, 1993- in Freiburg. He is elected member of the ISI, and author and co-author of several books and about 180 research papers.

Recensioner i media

From the reviews: "The book contains four parts: stochastic dependence and extremal risk, risk measures and worst case portfolios, optimal risk allocation, and optimal portfolios and extreme risk. ... the book will be definitely interesting to researchers and graduate students in the areas of insurance, financial mathematics, risk management, etc., as it gives a clear picture which research directions have been pursued and to what extent." (Jonas Siaulys, zbMATH, Vol. 1266, 2013)

Innehållsförteckning

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.