Modeling, measuring, and managing risk / by Georg Ch. Pflug & Werner Römisch
- Author
- Pflug, Georg Ch., 1951-
- Published
- Singapore ; Hackensack, N.J. : World Scientific, [2007]
- Copyright Date
- ©2007
- Physical Description
- 1 online resource
- Additional Creators
- Römisch, Werner
Access Online
- Contents
- 1. Modeling uncertain outcomes -- 2. Measuring single-period risk -- 3. Measuring multi-period risk -- 4. Single-stage decision models -- 5. Multi-stage decision models for financial management -- 6. Multi-stage decision models for electricity management.
- Summary
- 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.
- Subject(s)
- Functionals—Statistical methods
- Risk assessment—Statistical methods
- Risk management—Statistical methods
- Decision making—Statistical methods
- Fonctionnelles—Méthodes statistiques
- Évaluation du risque—Méthodes statistiques
- Gestion du risque—Méthodes statistiques
- Prise de décision—Méthodes statistiques
- BUSINESS & ECONOMICS—Statistics
- Mathematics
- Physical Sciences & Mathematics
- Mathematical Statistics
- ISBN
- 9812708723 (electronic bk.)
9789812708724 (electronic bk.) - Bibliography Note
- Includes bibliographical references (pages 277-284) and index.
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