Ilya Molchanov: Risk Measures | Taschenbuch

Cover: 9781009710930 | Risk Measures | Ilya Molchanov (u. a.) | Taschenbuch | Englisch | 2026

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Sprache: Englisch

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Beschreibung

Providing comprehensive yet accessible coverage, this is the first graduate-level textbook dedicated to the mathematical theory of risk measures. It explains how economic and financial principles result in a profound mathematical theory that allows us to quantify risk in monetary terms, giving rise to risk measures. Each chapter is designed to match the length of one or two lectures, covering the core theory in a self-contained manner, with exercises included in every chapter. Additional material sections then provide further background and insights for those looking to delve deeper. This two-layer modular design makes the book suitable as the basis for diverse lecture courses of varying length and level, and a valuable resource for researchers.

Über den Autor

Ilya Molchanov is Professor of Probability at the University of Bern, having previously worked at the University of Glasgow. He specialises in stochastic geometry. He authored 'Theory of Random Sets' (2017) and co-authored 'Random Sets in Econometrics' (2018) with Francesca Molinari, discussing the econometric applications of his work at the interface between probability theory and convex geometry.

Inhaltsverzeichnis

Introduction; Acknowledgements; 1. Gains, quantiles and Value-at-Risk; 2. Monetary property and acceptance sets; 3. Diversification, convexity and coherence; 4. Average-Value-at-Risk; 5. Dual representation of convex and coherent risk measures; 6. Representation theorems for risk measures on $L^p$-spaces; 7. Constructions of risk measures; 8. Law-determined risk measures; 9. Law-determined risk measures on $L^p$-spaces; 10. Comonotonicity and Choquet integrals; 11. Coherent comonotonic additive risk measures; 12. Multivariate risk measures; List of representations of coherent risk measures; List of important law-determined risk measures; References; Index.

Details

Erscheinungsjahr:	2026
Fachbereich:	Programmiersprachen
Genre:	Importe , Informatik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
ISBN-13:	9781009710930
ISBN-10:	1009710931
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Molchanov, Ilya Ziegel, Johanna
Hersteller:	Cambridge University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	229 x 152 x 12 mm
Von/Mit:	Ilya Molchanov (u. a.)
Erscheinungsdatum:	15.01.2026
Gewicht:	0,309 kg