| Document Type
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BL
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| Record Number
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959276
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| Doc. No
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b713646
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| Main Entry
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Pflug, Georg Ch.,1951-
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| Title & Author
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Modeling, measuring and managing risk /\ Georg Ch. Pflug, Werner Römisch.
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| Publication Statement
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Hackensack, N.J. :: World Scientific,, ©2007.
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| Page. NO
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xv, 286 pages :: illustrations (some color) ;; 24 cm
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| ISBN
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9789812707406
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: 9812707409
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| Bibliographies/Indexes
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Includes bibliographical references (pages 277-284) and index.
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| Contents
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Modeling uncertain outcomes -- The three Ms of decision making under uncertainty -- Probability models and scenario distributions -- Standard statistical parameters -- Measuring single-period risk -- Probability functionals and their properties -- Acceptability functionals and deviation risk functionals -- Conditional acceptability and risk mappings -- Classes of version-independent acceptability-type functionals -- Classes of version-independent deviation-type functionals -- Measuring multi-period risk -- Introduction to multi-period models -- Multi-period risk functionals : basic properties -- Classes of multi-period acceptability functionals -- Single-stage decision models -- Multi-stage decision models for financial management -- Value-of-information : standard and clairvoyant problems -- Efficient frontiers in multi-stage portfolio optimization -- A multi-stage insurance model -- Multi-stage decision models for electricity management -- Case study : mean-risk portfolio optimization of a municipal power utility.
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| Abstract
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"This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk." "The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models."--Jacket.
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| Subject
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Decision making-- Statistical methods.
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Functionals-- Statistical methods.
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Risk assessment-- Statistical methods.
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Risk management-- Statistical methods.
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Decision making-- Statistical methods.
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Entscheidung bei Risiko
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Entscheidung bei Unsicherheit
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Entscheidungsmodell
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Risikoanalyse
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Risikofunktion
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Risikomaß
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Risk assessment-- Statistical methods.
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| Subject
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Stochastisches Modell
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| Dewey Classification
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658.4/033
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| LC Classification
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QA273.6.P45 2007
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| NLM classification
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F224.7clc
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MAT 624fstub
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MAT 902fstub
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QH 237rvk
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SK 850rvk
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| Added Entry
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Römisch, Werner.
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