Stochastic Ordering of Risks, Influence of Dependence and A.s. Constructions
Author: Ludger Rüschendorf
Publisher:
Published: 2003
Total Pages: 26
ISBN-13:
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Author: Ludger Rüschendorf
Publisher:
Published: 2003
Total Pages: 26
ISBN-13:
DOWNLOAD EBOOKAuthor: Ludger Rüschendorf
Publisher: Springer Science & Business Media
Published: 2013-03-12
Total Pages: 414
ISBN-13: 364233590X
DOWNLOAD EBOOKThe 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.
Author: Manuel Úbeda Flores
Publisher: Springer
Published: 2017-10-13
Total Pages: 268
ISBN-13: 3319642219
DOWNLOAD EBOOKThis book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Author:
Publisher: John Wiley & Sons
Published: 2008-09-02
Total Pages: 2163
ISBN-13: 0470035498
DOWNLOAD EBOOKLeading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Author: N. Balakrishnan
Publisher: CRC Press
Published: 2005-05-31
Total Pages: 253
ISBN-13: 1420028693
DOWNLOAD EBOOKStatistical distributions are one of the most important applied mathematical tools across a wide spectrum of disciplines, including engineering, biological sciences, and health and social sciences. Since they are used to model observed data and ultimately to develop inferential procedures, understanding the properties of statistical distributions i
Author: Georg Bol
Publisher: Springer Science & Business Media
Published: 2008-11-14
Total Pages: 286
ISBN-13: 3790820504
DOWNLOAD EBOOKNew developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
Author: Dietmar Ferger
Publisher: Springer
Published: 2017-10-28
Total Pages: 437
ISBN-13: 3319509861
DOWNLOAD EBOOKThis book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling and asymptotic bounds for estimators, to shot-noise processes in finance, option pricing and volatility modelling. The book also features review articles, e.g. on survival analysis.
Author: Ludger Rüschendorf
Publisher: Cambridge University Press
Published: 2024-01-31
Total Pages: 347
ISBN-13: 1009367161
DOWNLOAD EBOOKDevelop the tools to quantify model risk, to study its effects in finance, insurance, and engineering, and to reduce it.
Author: Fabrizio Durante
Publisher: CRC Press
Published: 2015-07-01
Total Pages: 331
ISBN-13: 1439884447
DOWNLOAD EBOOKThis book gives readers the solid and formal mathematical background to apply copulas to a range of mathematical areas, such as probability, real analysis, measure theory, and algebraic structures. The authors prove the results as simply as possible and unify various methods scattered throughout the literature in common frameworks, including shuffles of copulas. They also explore connections with related functions, such as quasi-copulas, semi-copulas, and triangular norms, that have been used in different domains.
Author: Karl C. Mosler
Publisher: IMS
Published: 1991
Total Pages: 414
ISBN-13: 9780940600263
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