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Mathematical Risk Analysis
Ludger Ruschendorf
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Description for Mathematical Risk Analysis
Paperback. The up-to-date material and logical structure of this volume provides the clarity and orientation needed to gain a solid working knowledge of mathematical risk analysis. It includes a specialized focus on the risk theory deployed in finance and insurance. Series: Springer Series in Operations Research and Financial Engineering. Num Pages: 420 pages, black & white illustrations, bibliography. BIC Classification: KFFN; KJT; PBT; PBW. Category: (G) General (US: Trade). Dimension: 234 x 156 x 22. Weight in Grams: 590.
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 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 ... Read more
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 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 ... Read more
Product Details
Format
Paperback
Publication date
2015
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
420
Condition
New
Series
Springer Series in Operations Research and Financial Engineering
Number of Pages
408
Place of Publication
Berlin, Germany
ISBN
9783642430169
SKU
V9783642430169
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Ludger Ruschendorf
Ludger Rüschendorf, Professor of Mathematical Stochastics, studied Mathematics, Physics and Economics in Münster. Diploma thesis 1972 - PhD 1974 in Hamburg in Asymptotic Statistics - Habilitation thesis 1979 in Aachen in the area of stochastic ordering, masstransportation and Fréchet bounds - Professorships in Germany: 1981-1987 in Freiburg, 1987-1993 in Münster, 1993- in Freiburg. He is elected member of the ISI, ... Read more
Reviews for Mathematical Risk Analysis
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 ... Read more