Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
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The work Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
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Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
Resource Information
The work Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios represents a distinct intellectual or artistic creation found in Boston University Libraries. This resource is a combination of several types including: Work, Language Material, Books.
 Label
 Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
 Title remainder
 Dependence, Risk Bounds, Optimal Allocations and Portfolios
 Statement of responsibility
 by Ludger Rüschendorf
 Subject

 Distribution (Probability theory)
 Probability Theory and Stochastic Processes
 Operations Research, Management Science
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Economics  Statistics
 Economics  Statistics
 Distribution (Probability theory)
 Finance
 Applications of Mathematics
 Electronic resources
 Quantitative Finance
 Mathematics
 Economics  Statistics
 Mathematics
 Actuarial Sciences
 Distribution (Probability theory)
 Finance
 Language
 eng
 Summary
 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
 Image bit depth
 0
 LC call number

 QA273.A1274.9
 QA274274.9
 Literary form
 non fiction
 Series statement
 Springer Series in Operations Research and Financial Engineering,
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