Modeling, Measuring and Managing Risk

Pflug GC & Roemisch W (2007). Modeling, Measuring and Managing Risk. London: World Scientific Publishing Company. ISBN 9812707409

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Abstract

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.

Item Type: Book
Research Programs: Risk and Vulnerability (RAV)
Bibliographic Reference: World Scientific Publishing Company, London, U.K. [2007]
Related URLs:
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:39
Last Modified: 20 Jan 2016 16:44
URI: http://pure.iiasa.ac.at/8255

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