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.
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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. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined.
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Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences.- Multivariate Concave and Convex Stochastic Dominance.- Reliable Quantification and Efficient Estimation of Credit Risk.- Diffusion-based models for financial markets without martingale measures.
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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.
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Illustrates the interplay between modern advances in both risk measures and risk attitudes Multi-disciplinary coverage appeals to students, researchers and practitioners Contains papers presented at the Ludwig-Maximilians University in Munich in December 2010 Includes supplementary material: sn.pub/extras
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Produktdetaljer

ISBN
9781447149255
Publisert
2013-02-02
Utgiver
Vendor
Springer London Ltd
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Graduate, P, 06
Språk
Product language
Engelsk
Format
Product format
Heftet