Risk Measures and Attitudes [Paperback]

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 students and researchers of actuarial science or risk management as well as practitioners.

This book shows that unlike earlier approaches, modern theory incorporates more sophisticated analysis of risk measures and risk attitudes, which are intertwined in such settings as portfolio choice, mitigating credit risk and comparing risky alternatives.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.

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.

Illustrates the interplay between modern advances in both risk l#n