TY  - BOOK
AU  - Ruschendorf,Ludger
TI  - Mathematical risk analysis: dependence, risk bounds, optimal allocations and portfolios 
T2  - Springer series in operations research and financial engineering 
SN  - 9783642335891 (hard cover : alk. paper)
U1  - 000SB:658.155 23
PY  - 2013///
CY  - Berlin
PB  - Springer-Verlag
KW  - Mathematical analysis.
KW  - Risk management
KW  - Mathematical models
KW  - Stochastic models
N1  - Includes bibliographical references and index; Part I: Stochastic Dependence and Extremal Risk.-
1 Copulas, Sklar's Theorem, and Distributional Transform.- 
2 Frechet Classes, Risk Bounds, and Duality Theory.- 
3 Convex Order, Excess of Loss, and Comonotonicity.- 
4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio.- 
5 Restrictions on the Dependence Structure.- 
6 Dependence Orderings of Risk Vectors and Portfolios.- 

Part II: Risk Measures and Worst Case Portfolios.- 
7 Risk Measures for Real Risks.- 
8 Risk Measures for Portfolio Vectors.- 
9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation.- 

Part III: Optimal Risk Allocation.- 
10 Optimal Allocations and Pareto Equilibrium.- 
11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals.- 
12 Optimal Contingent Claims and (Re)Insurance Contracts.- 

Part IV: Optimal Portfolios and Extreme Risks.- 
13 Optimal Portfolio Diversification w.r.t. Extreme Risks.- 
14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses.- 

References.- 
List of Symbols.- 
Index
N2  - 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
ER  -