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Risk Measures and Attitudes By Francesca Biagini

Risk Measures and Attitudes by Francesca Biagini

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Summary

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.

Risk Measures and Attitudes Summary

Risk Measures and Attitudes by Francesca Biagini

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.

Table of Contents

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.

Additional information

NLS9781447149255
9781447149255
1447149254
Risk Measures and Attitudes by Francesca Biagini
New
Paperback
Springer London Ltd
2013-02-02
91
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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