Risk Measures and Attitudes

  • Francesca Biagini
  • Andreas Richter
  • Harris Schlesinger

Part of the EAA Series book series (EAAS)

Table of contents

  1. Front Matter
    Pages I-IX
  2. Risk Attitudes

    1. Front Matter
      Pages 1-1
    2. Patrick Cheridito, Samuel Drapeau, Michael Kupper
      Pages 3-9
    3. Michel Denuit, Louis Eeckhoudt, Ilia Tsetlin, Robert L. Winkler
      Pages 11-32
  3. Downside Risk

    1. Front Matter
      Pages 33-33
    2. Claudio Fontana, Wolfgang J. Runggaldier
      Pages 45-81
  4. Back Matter
    Pages 83-91

About this book

Introduction

Risk has been described in the past by a simple measure, such as the variance, and risk attitude is often considered simply a degree of risk aversion. However, this viewpoint is usually not sufficient. Risk Measures and Attitudes collects contributions which illustrate how modern approaches to both risk measures and risk attitudes are inevitably intertwined. The settings under which this is discussed include portfolio choice, mitigating credit risk and comparing risky alternatives.

This book will be a useful study aid for practitioners, students and researchers of actuarial science and risk management.

Keywords

Credit Risk Downside Risk Risk Attitudes Risk Measures Stochastic Dominance Value at Risk

Editors and affiliations

  • Francesca Biagini
    • 1
  • Andreas Richter
    • 2
  • Harris Schlesinger
    • 3
  1. 1.Department of MathematicsUniversity of MunichMunichGermany
  2. 2.Institut for Riskmanagement and InsurancUniversity of MunichMunichGermany
  3. 3.University of AlabamaTuscaloosaUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4471-4926-2
  • Copyright Information Springer-Verlag London 2013
  • Publisher Name Springer, London
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4471-4925-5
  • Online ISBN 978-1-4471-4926-2
  • Series Print ISSN 1869-6929
  • Series Online ISSN 1869-6937
  • About this book