close
1.

電子ブック
ＥＢ
1. Risk Measures and Attitudes
edited by Francesca Biagini, Andreas Richter, Harris Schlesinger
出版情報: London : Springer London : Imprint: Springer, 2013
シリーズ名: EAA Series ;
オンライン: http://dx.doi.org/10.1007/978-1-4471-4926-2
所蔵情報: loading…
目次情報: 続きを見る
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
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
2.

電子ブック
ＥＢ
2. Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications : BSDEs with Jumps
by Łukasz Delong
出版情報: London : Springer London : Imprint: Springer, 2013
シリーズ名: EAA Series ;
オンライン: http://dx.doi.org/10.1007/978-1-4471-5331-3
所蔵情報: loading…
目次情報: 続きを見る
Introduction
Stochastic Calculus
Backward Stochastic Differential Equations – the General Case
Forward-Backward Stochastic Differential Equations
Numerical Methods for FBSDEs
Nonlinear Expectations and g-Expectations
Combined Financial and Insurance Model
Linear BSDEs and Predictable Representations of Insurance Payment Processes
Arbitrage-Free Pricing, Perfect Hedging and Superhedging
Quadratic Pricing and Hedging
Utility Maximization and Indifference Pricing and Hedging
Pricing and Hedging under a Least Favorable Measure
Dynamic Risk Measures
Other Classes of BSDEs
Introduction
Stochastic Calculus
Backward Stochastic Differential Equations – the General Case
3.

電子ブック
ＥＢ
3. Mathematical Risk Analysis : Dependence, Risk Bounds, Optimal Allocations and Portfolios
by Ludger Rüschendorf
出版情報: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013
シリーズ名: Springer Series in Operations Research and Financial Engineering ;
オンライン: http://dx.doi.org/10.1007/978-3-642-33590-7
所蔵情報: loading…
目次情報: 続きを見る
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
4 Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
5 Restrictions on the Dependence Structure
6 Dependence Orderings of Risk Vectors and Portfolios
Part II: Risk Measures and Worst Case Portfolios
7 Risk Measures for Real Risks
8 Risk Measures for Portfolio Vectors
9 Law Invariant Convex Risk Measures on L_d^p and Optimal Mass Transportation
Part III: Optimal Risk Allocation
10 Optimal Allocations and Pareto Equilibrium
11 Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
12 Optimal Contingent Claims and (Re)Insurance Contracts
Part IV: Optimal Portfolios and Extreme Risks
13 Optimal Portfolio Diversification w.r.t. Extreme Risks
14 Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses
References
List of Symbols
Index
Preface.-Part I: Stochastic Dependence and Extremal Risk.-1 Copulas, Sklar's Theorem, and Distributional Transform
2 Fréchet Classes, Risk Bounds, and Duality Theory
3 Convex Order, Excess of Loss, and Comonotonicity
4.

電子ブック
ＥＢ
4. Modern Problems in Insurance Mathematics
edited by Dmitrii Silvestrov, Anders Martin-Löf
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2014
シリーズ名: EAA Series ;
オンライン: http://dx.doi.org/10.1007/978-3-319-06653-0
所蔵情報: loading…
目次情報: 続きを見る
International Cramer Symposium on Insurance Mathematics
Harald Cramer and Insurance Mathematics
100 Years of the Scandinavian Actuarial Journal
A Note on Gerber–Shiu Functions with an Application
Improved Asymptotics for Ruin Probabilities
Exponential Asymptotical Expansions for Ruin Probability in a Classical Risk Process with Non-Polynomial Perturbations
Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
Coherent Risk Measures under Dominated Variation
Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses
A Simulation-Based ALM Model in Practical Use by a Norwegian Life Insurance Company
Predicting Future Claims Among High Risk Policyholders Using Random Effects
Disability Insurance Claims Study by a Homogeneous Discrete Time Alternating Renewal Process
Analysis of the Stochasticity of Mortality Using Variance Decomposition
The Impact of Stress Factors on the Price of Widow’s Pensions
The Design of an Optimal Bonus-Malus System Based on the Sichel Distribution
Bonus-Malus Systems in Open and Closed Portfolios
Large Deviations for a Damped Telegraph Process
Probabilistic Choice with an Infinite Set of Options – an Approach Based on Random Sup Measures
Generalisation of the Damping Factor in PageRank for Weighted Networks
Asian Options, Jump-Diffusion Processes on a Lattice and Vandermonde Matrices
Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model
International Cramer Symposium on Insurance Mathematics
Harald Cramer and Insurance Mathematics
100 Years of the Scandinavian Actuarial Journal
5.

電子ブック
ＥＢ
5. Risk and Insurance : A Graduate Text. 1st ed. 2020
by Søren Asmussen, Mogens Steffensen
出版情報: Cham : Springer International Publishing : Imprint: Springer, 2020
シリーズ名: Probability Theory and Stochastic Modelling ; 96
オンライン: https://doi.org/10.1007/978-3-030-35176-2
所蔵情報: loading…
目次情報: 続きを見る
Basics
Experience Rating
Sums and Aggregate Claims
Ruin Theory
Markov Models in Life Insurance
Financial Mathematics in Life Insurance
Special Studies in Life Insurance
Orderings and Comparisons
Extreme Value Theory
Dependence and Further Topics in Risk Management
Stochastic Control in Non-Life Insurance
Stochastic Control in Life Insurance
Selected Further Topics
Basics
Experience Rating
Sums and Aggregate Claims