Assessment and risk management. Textbook for universities
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The concepts of degrees, measures and thresholds of risks are introduced, the problem of describing preferences on many probabilistic distributions is discussed, and the problem of the intensity of preferences is investigated. Insurance portfolios are considered, the price of insurance and the lifetime of the risk processes are determined, and dynamic risk processes are given. The risk in financial models and stochastic dominance of the main functions of the investment project are described. Methods for assessing the risk of a model of ruin insurance companies, reinsurance are given. The analysis of risk measures for coherence is considered, the connection of the degree of risk and function of the expected utility is shown. The work is based on the materials of a special course of lectures read at St. Petersburg State University
Author:
Author:Kolbin Vyacheslav Viktorovich
Cover:
Cover:Hard
Category:
- Category:Business & Money
ISBN:
ISBN:978-5-8114-8346-4
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