Ebook: Risk Measures and Attitudes
- Tags: Actuarial Sciences, Quantitative Finance, Applications of Mathematics, Probability Theory and Stochastic Processes
- Series: EAA Series
- Year: 2013
- Publisher: Springer-Verlag London
- Edition: 1
- Language: English
- pdf
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives.
This book will be a useful study aid for students and researchers of actuarial science or risk management as well as practitioners.
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives.
This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management.
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives.
This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management.
Content:
Front Matter....Pages I-IX
Front Matter....Pages 1-1
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences....Pages 3-9
Multivariate Concave and Convex Stochastic Dominance....Pages 11-32
Front Matter....Pages 33-33
Reliable Quantification and Efficient Estimation of Credit Risk....Pages 35-43
Diffusion-Based Models for Financial Markets Without Martingale Measures....Pages 45-81
Back Matter....Pages 83-91
Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives.
This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management.
Content:
Front Matter....Pages I-IX
Front Matter....Pages 1-1
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences....Pages 3-9
Multivariate Concave and Convex Stochastic Dominance....Pages 11-32
Front Matter....Pages 33-33
Reliable Quantification and Efficient Estimation of Credit Risk....Pages 35-43
Diffusion-Based Models for Financial Markets Without Martingale Measures....Pages 45-81
Back Matter....Pages 83-91
....