02409nam a2200373 i 4500 29441 BD-DhAAL 20150802130806.0 150802s2013 gw a b 001 0 eng c 2012953468 9783642335891 3642335896 9783642335907 (electronic bk.) 364233590X (electronic bk.) (OCoLC)ocn846852367 IAC eng IAC rda OHX CUD COD OCLCF OCLCO YDXCP DLC BD-DhAAL lccopycat HD61 .R86 2013 HB lcco 658.155 23 Rüschendorf, Ludger, 1948- 13443 Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios / Ludger Rüschendorf. Berlin ; New York : Springer, 2013. xii, 408 p. : ill. ; 25 cm. Springer series in operations research and financial engineering, 1431-8598 Includes bibliographical references (pages 385-398) and index. 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. 29441 Risk management Mathematical models. 13444 Mathematical analysis. 13445 Springer series in operations research. 13446 ddc BK 35130 35130 0 0 ddc 0 658_155000000000000_RUS 0 55079 BRACUL BRACUL GEN 2015-08-02 Development Book Agency 5300.00 0 658.155 RUS 3010029441 2015-08-02 1 2015-08-02 BK