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Convex Risk Measures
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Book Synopsis Advances in Finance and Stochastics by : Klaus Sandmann
Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2013-04-18 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.
Book Synopsis Robust Representation of Convex Risk Measures by : Marija Vukovic
Download or read book Robust Representation of Convex Risk Measures written by Marija Vukovic and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Convex Risk Measures Beyond Bounded Risks by : Gregor Svindland
Download or read book Convex Risk Measures Beyond Bounded Risks written by Gregor Svindland and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Dynamic Coherent and Convex Risk Measures by : Daniel Engelage
Download or read book On Dynamic Coherent and Convex Risk Measures written by Daniel Engelage and published by . This book was released on 2009 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Coherent and Convex Measures of Risk by :
Download or read book Coherent and Convex Measures of Risk written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the financial risks an agent has to deal with is market risk. Market risk is caused by the uncertainty attached to asset values. There exit various measures trying to model market risk. The most widely accepted one is Value-at- Risk. However Value-at-Risk does not encourage portfolio diversification in general, whereas a consistent risk measure has to do so. In this work, risk measures satisfying these consistency conditions are examined within theoretical basis. Different types of coherent and convex risk measures are investigated. Moreover the extension of coherent risk measures to multiperiod settings is discussed.
Book Synopsis Advanced Mathematical Methods for Finance by : Julia Di Nunno
Download or read book Advanced Mathematical Methods for Finance written by Julia Di Nunno and published by Springer Science & Business Media. This book was released on 2011-03-29 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Book Synopsis Dynamic Convex Risk Measures by : Irina Penner
Download or read book Dynamic Convex Risk Measures written by Irina Penner and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing Insurance Risk by : Stephen J. Mildenhall
Download or read book Pricing Insurance Risk written by Stephen J. Mildenhall and published by John Wiley & Sons. This book was released on 2022-06-15 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: PRICING INSURANCE RISK A comprehensive framework for measuring, valuing, and managing risk Pricing Insurance Risk: Theory and Practice delivers an accessible and authoritative account of how to determine the premium for a portfolio of non-hedgeable insurance risks and how to allocate it fairly to each portfolio component. The authors synthesize hundreds of academic research papers, bringing to light little-appreciated answers to fundamental questions about the relationships between insurance risk, capital, and premium. They lean on their industry experience throughout to connect the theory to real-world practice, such as assessing the performance of business units, evaluating risk transfer options, and optimizing portfolio mix. Readers will discover: Definitions, classifications, and specifications of risk An in-depth treatment of classical risk measures and premium calculation principles Properties of risk measures and their visualization A logical framework for spectral and coherent risk measures How risk measures for capital and pricing are distinct but interact Why the cost of capital, not capital itself, should be allocated The natural allocation method and how it unifies marginal and risk-adjusted probability approaches Applications to reserve risk, reinsurance, asset risk, franchise value, and portfolio optimization Perfect for actuaries working in the non-life or general insurance and reinsurance sectors, Pricing Insurance Risk: Theory and Practice is also an indispensable resource for banking and finance professionals, as well as risk management professionals seeking insight into measuring the value of their efforts to mitigate, transfer, or bear nonsystematic risk.
Book Synopsis Conditional and Dynamic Convex Risk Measures by : Kai Detlefsen
Download or read book Conditional and Dynamic Convex Risk Measures written by Kai Detlefsen and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Convex Risk Measures by : Irina Penner
Download or read book Dynamic Convex Risk Measures written by Irina Penner and published by . This book was released on 2007 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some Formulas for the Conjugate of Convex Risk Measures by : Radu Ioan Boţ
Download or read book Some Formulas for the Conjugate of Convex Risk Measures written by Radu Ioan Boţ and published by . This book was released on 2006 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Measures - Value at Risk and Beyond by : Bernhard Höfler
Download or read book Risk Measures - Value at Risk and Beyond written by Bernhard Höfler and published by GRIN Verlag. This book was released on 2008 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1 (A), University of Graz (Institut für Finanzwirtschaft), language: English, abstract: This thesis provides an exhaustive and well-founded overview of risk measures, in particular of Value at Risk (VaR) and risk measures beyond VaR. Corporations are exposed to different kinds of risks and therefore risk management has become a central task for a successful company. VaR is nowadays widely adapted internationally to measure market risk and is the most frequently used risk measure amongst practitioners due to the fact that the concept offers several advantages. However, VaR also has its drawbacks and hence there have been and still are endeavours to improve VaR and to find better risk measures. In seeking alternative risk measures to try to overcome VaR's disadvantages, while still keeping its advantages, risk measures beyond VaR were introduced. The most important alternative risk measures such as Tail Conditional Expectation, Worst Conditional Expectation, Expected Shortfall, Conditional VaR, and Expected Tail Loss are presented in detail in the thesis. It has been found that the listed risk measures are very similar concepts of overcoming the deficiencies of VaR and that there is no clear distinction between them in the literature - 'confusion of tongues' would be an appropriate expression. Two concepts have become widespread in the literature in recent years: Conditional VaR and Expected Shortfall, however there are situations where it can be seen that these are simply different terms for the same measure. Additionally other concepts are touched upon (Conditional Drawdown at Risk, Expected Regret, Spectral Risk Measures, Distortion Risk Measures, and other risk measures) and modifications of VaR (Conditional Autoregressive VaR, Modified VaR, Stable modelling of VaR) are introduced. Recapitulatory the basic findings of the thesis are that t
Book Synopsis Stochastic Finance by : Hans Föllmer
Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-07-25 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures
Book Synopsis Decision Making with Convex Risk Measures: Theoretical Foundations and Applications to Finance and Insurance by : Robert Rischau
Download or read book Decision Making with Convex Risk Measures: Theoretical Foundations and Applications to Finance and Insurance written by Robert Rischau and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Risk Analysis by : Ludger Rüschendorf
Download or read book Mathematical Risk Analysis written by Ludger Rüschendorf and published by Springer Science & Business Media. This book was released on 2013-03-12 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author's particular interest in the area of risk measures is to combine this theory with the analysis of dependence properties. The present volume gives an introduction of basic concepts and methods in mathematical risk analysis, in particular of those parts of risk theory that are of special relevance to finance and insurance. Describing the influence of dependence in multivariate stochastic models on risk vectors is the main focus of the text that presents main ideas and methods as well as their relevance to practical applications. The first part introduces basic probabilistic tools and methods of distributional analysis, and describes their use to the modeling of dependence and to the derivation of risk bounds in these models. In the second, part risk measures with a particular focus on those in the financial and insurance context are presented. The final parts are then devoted to applications relevant to optimal risk allocation, optimal portfolio problems as well as to the optimization of insurance contracts. Good knowledge of basic probability and statistics as well as of basic general mathematics is a prerequisite for comfortably reading and working with the present volume, which is intended for graduate students, practitioners and researchers and can serve as a reference resource for the main concepts and techniques.
Book Synopsis On Sigma-additive Robust Representation of Convex Risk Measures for Unbounded Financial Positions in the Presence of Uncertainty about the Market Model by : Volker Krätschmer
Download or read book On Sigma-additive Robust Representation of Convex Risk Measures for Unbounded Financial Positions in the Presence of Uncertainty about the Market Model written by Volker Krätschmer and published by . This book was released on 2007 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance by : Georgios Papayiannis
Download or read book Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance written by Georgios Papayiannis and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel class of convex risk measures, based on the concept of the Fr 'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk measures robustly characterize the exposure of the firm, by filtering out appropriately the partial information available in individual sources into an aggregate model for the risk factors of interest. Importantly, the proposed risks can be expressed in closed analytic forms allowing for interesting qualitative interpretations as well as comparative statics and thus facilitate their use in the everyday risk management process of the insurance firms. The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty.
