VaR Bounds for Joint Portfolios with Dependence Constraints - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook VaR Bounds for Joint Portfolios with Dependence Constraints write by Giovanni Puccetti. This book was released on 2016. VaR Bounds for Joint Portfolios with Dependence Constraints available in PDF, EPUB and Kindle. Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest.
Copulas and Dependence Models with Applications
Copulas and Dependence Models with Applications - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Copulas and Dependence Models with Applications write by Manuel Úbeda Flores. This book was released on 2017-10-13. Copulas and Dependence Models with Applications available in PDF, EPUB and Kindle. This book presents contributions and review articles on the theory of copulas and their applications. The authoritative and refereed contributions review the latest findings in the area with emphasis on “classical” topics like distributions with fixed marginals, measures of association, construction of copulas with given additional information, etc. The book celebrates the 75th birthday of Professor Roger B. Nelsen and his outstanding contribution to the development of copula theory. Most of the book’s contributions were presented at the conference “Copulas and Their Applications” held in his honor in Almería, Spain, July 3-5, 2017. The chapter 'When Gumbel met Galambos' is published open access under a CC BY 4.0 license.
Dependence Uncertainty Bounds for the Expectile of a Portfolio
Dependence Uncertainty Bounds for the Expectile of a Portfolio - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Dependence Uncertainty Bounds for the Expectile of a Portfolio write by Edgars Jakobsons. This book was released on 2015. Dependence Uncertainty Bounds for the Expectile of a Portfolio available in PDF, EPUB and Kindle.
Model Risk Management
Model Risk Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Model Risk Management write by Ludger Rüschendorf. This book was released on 2024-01-31. Model Risk Management available in PDF, EPUB and Kindle. Develop the tools to quantify model risk, to study its effects in finance, insurance, and engineering, and to reduce it.
Reinsurance
Reinsurance - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Reinsurance write by Hansjörg Albrecher. This book was released on 2017-08-21. Reinsurance available in PDF, EPUB and Kindle. Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in reinsurance problems, for graduate students with a basic knowledge of probability and statistics as well as for reinsurance practitioners. The focus of the book is on modelling together with the statistical challenges that go along with it. The discussed statistical approaches are illustrated alongside six case studies of insurance loss data sets, ranging from MTPL over fire to storm and flood loss data. Some of the presented material also contains new results that have not yet been published in the research literature. An extensive bibliography provides readers with links for further study.
