Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios

Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios

Author: Ludger Ruschendorf

Format: Paperback

Pages: 408

ISBN: 9783642430169

Publisher: Springer

Release Date: April 12, 2015

Description du Livre

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."

Blanchefle Morneau
Enfin, je reçois cet ebook, merci pour tous ces miracles de Noël que je peux obtenir maintenant!
Alphonse Ratté
Je tiens à vous remercier personnellement pour vos livres exceptionnels. C’est vraiment merveilleux.
Andrée Bédard
Je vous recommanderai à mes collègues. Leur miracle de Noël est les livres les plus précieux que nous ayons jamais achetés. Je serais perdu sans ça. Je suis complète ment époustouflé.
Gradasso Martel
Leur Miracle de Noel était le meilleur livre que j’ai jamais acheter. Leur Miracle de Noel a fait exactement ce que tu as dit qu’il faisait.
Émilie Aucoin
Mes amis sont tellement fous qu’ils ne savent pas comment j’ai tous les ebook de haute qualité qu’ils n’ont pas!