Overview
- Up-to-date treatment of the main concepts and techniques used in mathematical risk analysis
- Clearly structured guide
- Gives orientation and help to acquire a solid fundament for working in this area?
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Series in Operations Research and Financial Engineering (ORFE)
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Table of contents (14 chapters)
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Stochastic Dependence and Extremal Risk
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Risk Measures and Worst Case Portfolios
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Optimal Portfolios and Extreme Risks
Keywords
About this book
Reviews
From the reviews:
“The book contains four parts: stochastic dependence and extremal risk, risk measures and worst case portfolios, optimal risk allocation, and optimal portfolios and extreme risk. … the book will be definitely interesting to researchers and graduate students in the areas of insurance, financial mathematics, risk management, etc., as it gives a clear picture which research directions have been pursued and to what extent.” (Jonas Šiaulys, zbMATH, Vol. 1266, 2013)Authors and Affiliations
About the author
Bibliographic Information
Book Title: Mathematical Risk Analysis
Book Subtitle: Dependence, Risk Bounds, Optimal Allocations and Portfolios
Authors: Ludger Rüschendorf
Series Title: Springer Series in Operations Research and Financial Engineering
DOI: https://doi.org/10.1007/978-3-642-33590-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer-Verlag GmbH, DE, part of Springer Nature 2013
Hardcover ISBN: 978-3-642-33589-1Published: 20 March 2013
Softcover ISBN: 978-3-642-43016-9Published: 12 April 2015
eBook ISBN: 978-3-642-33590-7Published: 12 March 2013
Series ISSN: 1431-8598
Series E-ISSN: 2197-1773
Edition Number: 1
Number of Pages: XII, 408
Topics: Probability Theory and Stochastic Processes, Quantitative Finance, Actuarial Sciences, Applications of Mathematics, Operations Research, Management Science, Statistics for Business, Management, Economics, Finance, Insurance