Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios (Q2919635)
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scientific article; zbMATH DE number 6090392
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| English | Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios |
scientific article; zbMATH DE number 6090392 |
Statements
Mathematical Risk Analysis (English)
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5 October 2012
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stochastic dependence
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distributional transform
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quantile transform
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Fréchet classes
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risk bound
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duality theory
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convex order
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Schur order
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integral order
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comonotonicity
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excess of loss
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VaR
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dependence ordering
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coherent risk measure
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convex risk measure
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law invariant risk measure
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portfolio risk measure
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representation of risk measures
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optimal mass-transportation
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risk allocation
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convex risk functional
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optimal portfolios contracts
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contingent claims contracts
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reinsurance contracts
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extreme risk
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orderings of multivariate risk models
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0.798103928565979
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0.7947658896446228
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0.7879557013511658
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0.7864105105400085
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0.7860134243965149
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