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

by Ludger R. Schendorf and Ludger Rüschendorf

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: B01K9SI31A
• ISBN13: 9783642335891
• Release Date: March 2013
• Publisher: Springer
• Weight: 16.56 lbs.
• Dimensions: 0.4" x 6.1" x 9.3"