عنوان

Mathematical risk analysis

(Number (ISBN

364233590X (electronic bk.)

(Number (ISBN

9783642335907 (electronic bk.)

Erroneous ISBN

9783642335891

Number

b423700

Title Proper

Mathematical risk analysis

General Material Designation

[Book]

Other Title Information

dependence, risk bounds, optimal allocations and portfolios /

First Statement of Responsibility

Ludger Rüschendorf

Place of Publication, Distribution, etc.

New York :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

c2013

Specific Material Designation and Extent of Item

1 online resource

Series Title

Springer series in operations research and financial engineering,

ISSN of Series

1431-8598

Text of Note

Includes bibliographical references and index

Text of Note

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. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts.Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques

Title

OhioLINK electronic book center (Online)

Title

SpringerLink

Mathematical analysis

Risk management-- Mathematical models

Number

Edition

Class number

Class number

Book number

Book number

Rüschendorf, Ludger,1948-

Ohio Library and Information Network

Date of Transaction

20130703153612.0

Electronic name

[Book]

Y