عنوان

Modeling, measuring and managing risk /

9789812707406

9812707409

b713646

Modeling, measuring and managing risk /

[Book]

Georg Ch. Pflug, Werner Römisch.

Hackensack, N.J. :

World Scientific,

©2007.

xv, 286 pages :

illustrations (some color) ;

24 cm

Includes bibliographical references (pages 277-284) and index.

Modeling uncertain outcomes -- The three Ms of decision making under uncertainty -- Probability models and scenario distributions -- Standard statistical parameters -- Measuring single-period risk -- Probability functionals and their properties -- Acceptability functionals and deviation risk functionals -- Conditional acceptability and risk mappings -- Classes of version-independent acceptability-type functionals -- Classes of version-independent deviation-type functionals -- Measuring multi-period risk -- Introduction to multi-period models -- Multi-period risk functionals : basic properties -- Classes of multi-period acceptability functionals -- Single-stage decision models -- Multi-stage decision models for financial management -- Value-of-information : standard and clairvoyant problems -- Efficient frontiers in multi-stage portfolio optimization -- A multi-stage insurance model -- Multi-stage decision models for electricity management -- Case study : mean-risk portfolio optimization of a municipal power utility.

0

"This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk." "The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models."--Jacket.

Decision making-- Statistical methods.

Functionals-- Statistical methods.

Risk assessment-- Statistical methods.

Risk management-- Statistical methods.

Decision making-- Statistical methods.

Entscheidung bei Risiko

Entscheidung bei Unsicherheit

Entscheidungsmodell

Risikoanalyse

Risikofunktion

Risikomaß

Risk assessment-- Statistical methods.

Stochastisches Modell

Pflug, Georg Ch.,1951-

Römisch, Werner.

20201208040056.0

[Book]

Y