|
|
|
|
| LEADER |
04729nam a22004213i 4500 |
| 001 |
EBC6639843 |
| 003 |
MiAaPQ |
| 005 |
20231204023217.0 |
| 006 |
m o d | |
| 007 |
cr cnu|||||||| |
| 008 |
231204s2017 xx o ||||0 eng d |
| 020 |
|
|
|a 9789048534586
|q (electronic bk.)
|
| 020 |
|
|
|z 9789462984059
|
| 035 |
|
|
|a (MiAaPQ)EBC6639843
|
| 035 |
|
|
|a (Au-PeEL)EBL6639843
|
| 035 |
|
|
|a (OCoLC)1256821465
|
| 040 |
|
|
|a MiAaPQ
|b eng
|e rda
|e pn
|c MiAaPQ
|d MiAaPQ
|
| 100 |
1 |
|
|a Belles-Sampera, Jaume.
|
| 245 |
1 |
0 |
|a Risk Quantification and Allocation Methods for Practitioners.
|
| 250 |
|
|
|a 1st ed.
|
| 264 |
|
1 |
|a Amsterdam :
|b Amsterdam University Press,
|c 2017.
|
| 264 |
|
4 |
|c ©2017.
|
| 300 |
|
|
|a 1 online resource (169 pages)
|
| 336 |
|
|
|a text
|b txt
|2 rdacontent
|
| 337 |
|
|
|a computer
|b c
|2 rdamedia
|
| 338 |
|
|
|a online resource
|b cr
|2 rdacarrier
|
| 490 |
1 |
|
|a Atlantis Studies in Computational Finance and Financial Engineering Series
|
| 505 |
0 |
|
|a Intro -- Preface -- Contents -- List of Figures -- List of Tables -- Part I Risk Assessment -- Preliminary concepts on quantitative risk measurement -- Risk measurement - Theory -- First definitions -- Properties for risk measures -- Risk measurement - Practice -- `Liability side' versus `asset side' perspectives -- Some misunderstandings to be avoided in practice -- Exercises -- Data on losses for risk evaluation -- An example on three dimensional data -- Basic graphical analysis of the loss severity distributions -- Quantile estimation -- Examples -- A family of distortion risk measures -- Overview on risk measures -- Distortion risk measures -- A new family of risk measures: GlueVaR -- Linear combination of risk measures -- Subadditivity -- Concavity of the distortion function -- Example of risk measurement with GlueVaR -- Exercises -- GlueVaR and other new risk measures -- Analytical closed-form expressions of GlueVaR -- Illustration: GlueVaR expression for Student t distribution -- Analytical expressions for other frequently used distributions -- The Cornish-Fisher approximation of GlueVaR -- On the relationship between GlueVaR and Tail Distortion risk measures -- On the relationship between GlueVaR and RVaR risk measures -- Example -- Exercises -- Risk measure choice -- Aggregate attitude towards risk -- Local risk attitude -- Application of risk assessment in a scenario involving catastrophic losses -- Calibration of GlueVaR parameters -- Data and Results -- GlueVaR to reflect risk attitudes -- Exercises -- Part II Capital Allocation Problems -- An overview on capital allocation problems -- Main concepts and notation -- Properties of capital allocation principles -- Review of some principles -- The gradient allocation principle -- Other capital allocation principles based on partial contributions -- The excess based allocation principle.
|
| 505 |
8 |
|
|a Further reading -- Exercices -- Capital allocation based on GlueVaR -- A capital allocation framework -- The Haircut capital allocation principle -- Proportional risk capital allocation principles using GlueVaR -- Stand-alone proportional allocation principles using GlueVaR -- Proportional allocation principles based on partial contributions using GlueVaR -- An example of risk capital allocation on claim costs -- Exercices -- Capital allocation principles as compositional data -- The simplex and its vectorial and metric structure -- From capital allocation principles to compositional data -- Simplicial concepts applied to capital allocation -- The inverse of a capital allocation -- Ranking capital allocation principles -- Averaging capital allocation principles -- An illustration -- Exercises -- Appendix -- Equivalent expression for the GlueVaR distortion function -- Bijective relationship between heights and weights as parameters for GlueVaR risk measures -- Relationship between GlueVaR and Tail Distortion risk measures -- Bibliography -- Biographies of the authors -- Index.
|
| 588 |
|
|
|a Description based on publisher supplied metadata and other sources.
|
| 590 |
|
|
|a Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2023. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
|
| 655 |
|
4 |
|a Electronic books.
|
| 700 |
1 |
|
|a Guillén, Montserrat.
|
| 700 |
1 |
|
|a Santolino, Miguel.
|
| 776 |
0 |
8 |
|i Print version:
|a Belles-Sampera, Jaume
|t Risk Quantification and Allocation Methods for Practitioners
|d Amsterdam : Amsterdam University Press,c2017
|z 9789462984059
|
| 797 |
2 |
|
|a ProQuest (Firm)
|
| 830 |
|
0 |
|a Atlantis Studies in Computational Finance and Financial Engineering Series
|
| 856 |
4 |
0 |
|u https://ebookcentral.proquest.com/lib/matrademy/detail.action?docID=6639843
|z Click to View
|
