Mathematical Risk Analysis

DOI10.1007/978-3-642-33590-7zbMath1266.91001OpenAlexW2492739463MaRDI QIDQ2919635

Ludger Rüschendorf

Publication date: 5 October 2012

Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33590-7

zbMATH Keywords

duality theorystochastic dependencecomonotonicityconvex risk measureconvex ordercoherent risk measureVaRdependence orderingextreme riskrisk allocationquantile transformFréchet classesexcess of lossdistributional transformrisk boundreinsurance contractsintegral orderportfolio risk measurecontingent claims contractsconvex risk functionallaw invariant risk measureoptimal mass-transportationoptimal portfolios contractsorderings of multivariate risk modelsrepresentation of risk measuresSchur order

Mathematics Subject Classification ID

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