dependence, risk bounds, optimal allocations and portfolios Rüschendorf, Ludger 1948- creator text bibliography gw Berlin ; New York Springer 2013 monographic eng

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xii, 408 p. : ill. ; 25 cm. Copulas, Sklar's Theorem, and Distributional Transform -- Fréchet Classes, Risk Bounds, and Duality Theory -- Convex Order, Excess of Loss, and Comonotonicity -- Bounds for the Distribution Function and Value at Risk of the Joint Portfolio -- Restrictions on the Dependence Structure -- Dependence Orderings of Risk Vectors and Portfolios -- Risk Measures and Worst Case Portfolios -- Risk Measures for Real Risks -- Risk Measures for Portfolio Vectors -- Law Invariant Convex Risk Measures on Lpd and Optimal Mass Transportation -- Optimal Risk Allocation -- Optimal Allocations and Pareto Equilibrium -- Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals -- Optimal Contingent Claims and (Re)insurance Contracts -- Optimal Portfolios and Extreme Risks -- Optimal Portfolio Diversification w.r.t. Extreme Risks -- Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses. Ludger Rüschendorf. Includes bibliographical references (pages 385-398) and index. Risk management Mathematical models Mathematical analysis HD61 .R86 2013 658.155 9783642335891 3642335896 2012953468 IAC 150802 20150802130806.0 29441 eng