Risk measures and comonotonicity: a review
In this paper we examine and summarize properties of several well-known risk measures
that can be used in the framework of setting solvency capital requirements for a risky …
that can be used in the framework of setting solvency capital requirements for a risky …
[图书][B] GARCH models: structure, statistical inference and financial applications
C Francq, JM Zakoian - 2019 - books.google.com
Provides a comprehensive and updated study of GARCH models and their applications in
finance, covering new developments in the discipline This book provides a comprehensive …
finance, covering new developments in the discipline This book provides a comprehensive …
[图书][B] Quantitative risk management: concepts, techniques and tools-revised edition
This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …
modelling techniques of quantitative risk management. Whether you are a financial risk …
[图书][B] Stochastic finance: an introduction in discrete time
H Föllmer, A Schied - 2011 - books.google.com
This book is an introduction to financial mathematics. It is intended for graduate students in
mathematics and for researchers working in academia and industry. The focus on stochastic …
mathematics and for researchers working in academia and industry. The focus on stochastic …
[引用][C] Correlation and Dependence in Risk Management: Properties and Pitfalls
P Embrechts - Risk Management: Value at Risk and Beyond …, 2002 - books.google.com
Modern risk management calls for an understanding of stochastic dependence going
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …
beyond simple linear correlation. This article deals with the static (nontime-dependent) case …
Coherent risk measures on general probability spaces
F Delbaen - Advances in finance and stochastics: essays in honour …, 2002 - Springer
We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber
and Heath, to general probability spaces and we show how to define such measures on the …
and Heath, to general probability spaces and we show how to define such measures on the …
An overview of comonotonicity and its applications in finance and insurance
Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool
for solving several research and practical problems in the domain of finance and insurance …
for solving several research and practical problems in the domain of finance and insurance …
Common Poisson shock models: applications to insurance and credit risk modelling
F Lindskog, AJ McNeil - ASTIN Bulletin: The Journal of the IAA, 2003 - cambridge.org
The idea of using common Poisson shock processes to model dependent event frequencies
is well known in the reliability literature. In this paper we examine these models in the …
is well known in the reliability literature. In this paper we examine these models in the …
[图书][B] Coherent risk measures
F Delbaen, S Biagini - 2000 - Springer
The notes grew out of a course I taught at a Cattedra Galileiana at the Scuola Normale
Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to …
Superiore di Pisa, March 2000. The aim of these lectures was to show that it is possible to …
[图书][B] Stochastic dominance and applications to finance, risk and economics
Drawing from many sources in the literature, Stochastic Dominance and Applications to
Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a …
Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a …