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Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios (Springer Series in Operations Research and Financial Enginee)

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Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios (Springer Series in Operations Research and Financial Enginee) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

The up-to-date material and logical structure of this volume provides the clarity and orientation needed to gain a solid working knowledge of mathematical risk analysis. It includes a specialized focus on the risk theory deployed in finance and insurance.

About the Author

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.

Table of Contents

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. ​

Product Details

ISBN:
9783642335891
Author:
R. Schendorf, Ludger
Publisher:
Springer
Author:
Ruschendorf, Ludger
Location:
Berlin, Heidelberg
Subject:
Statistics
Subject:
62P05 , 91B30 , 91B28 ,60G70
Subject:
Fréchet-classes
Subject:
mathematical risk analysis
Subject:
optimal portfolios and insurance contracts
Subject:
risk bounds
Subject:
risk measures
Subject:
Probability Theory and Stochastic Processes
Subject:
Quantitative Finance
Subject:
Actuarial Sciences
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Operations Research, Management Science
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Mathematics-Applied
Subject:
Mathematica
Subject:
l risk analysis
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Finance
Subject:
Economics_xStatistics
Copyright:
Edition Description:
2013
Series:
Springer Series in Operations Research and Financial Engineering
Publication Date:
20121112
Binding:
HARDCOVER
Language:
English
Pages:
430
Dimensions:
235 x 155 mm

Related Subjects


Science and Mathematics » Agriculture » General
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios (Springer Series in Operations Research and Financial Enginee) New Hardcover
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$140.25 In Stock
Product details 430 pages Springer - English 9783642335891 Reviews:
"Synopsis" by , The up-to-date material and logical structure of this volume provides the clarity and orientation needed to gain a solid working knowledge of mathematical risk analysis. It includes a specialized focus on the risk theory deployed in finance and insurance.
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