Risk Quantification and Allocation Methods for Practitioners. (Record no. 307699)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04764nam a22004333i 4500 |
| 001 - CONTROL NUMBER | |
| control field | EBC6639843 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240122001401.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr cnu|||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 231124s2017 xx o ||||0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9789048534586 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Canceled/invalid ISBN | 9789462984059 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (MiAaPQ)EBC6639843 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (Au-PeEL)EBL6639843 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)1256821465 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MiAaPQ |
| Language of cataloging | eng |
| Description conventions | rda |
| -- | pn |
| Transcribing agency | MiAaPQ |
| Modifying agency | MiAaPQ |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Belles-Sampera, Jaume. |
| 245 10 - TITLE STATEMENT | |
| Title | Risk Quantification and Allocation Methods for Practitioners. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 1st ed. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Amsterdam : |
| Name of producer, publisher, distributor, manufacturer | Amsterdam University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2017. |
| 264 #4 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Date of production, publication, distribution, manufacture, or copyright notice | �2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (169 pages) |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Content type code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Media type code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Carrier type code | cr |
| Source | rdacarrier |
| 490 1# - SERIES STATEMENT | |
| Series statement | Atlantis Studies in Computational Finance and Financial Engineering Series |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Intro -- Preface -- Contents -- List of Figures -- List of Tables -- Part I Risk Assessment -- Preliminary concepts on quantitative risk measurement -- Risk measurement - Theory -- First definitions -- Properties for risk measures -- Risk measurement - Practice -- `Liability side' versus `asset side' perspectives -- Some misunderstandings to be avoided in practice -- Exercises -- Data on losses for risk evaluation -- An example on three dimensional data -- Basic graphical analysis of the loss severity distributions -- Quantile estimation -- Examples -- A family of distortion risk measures -- Overview on risk measures -- Distortion risk measures -- A new family of risk measures: GlueVaR -- Linear combination of risk measures -- Subadditivity -- Concavity of the distortion function -- Example of risk measurement with GlueVaR -- Exercises -- GlueVaR and other new risk measures -- Analytical closed-form expressions of GlueVaR -- Illustration: GlueVaR expression for Student t distribution -- Analytical expressions for other frequently used distributions -- The Cornish-Fisher approximation of GlueVaR -- On the relationship between GlueVaR and Tail Distortion risk measures -- On the relationship between GlueVaR and RVaR risk measures -- Example -- Exercises -- Risk measure choice -- Aggregate attitude towards risk -- Local risk attitude -- Application of risk assessment in a scenario involving catastrophic losses -- Calibration of GlueVaR parameters -- Data and Results -- GlueVaR to reflect risk attitudes -- Exercises -- Part II Capital Allocation Problems -- An overview on capital allocation problems -- Main concepts and notation -- Properties of capital allocation principles -- Review of some principles -- The gradient allocation principle -- Other capital allocation principles based on partial contributions -- The excess based allocation principle. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Further reading -- Exercices -- Capital allocation based on GlueVaR -- A capital allocation framework -- The Haircut capital allocation principle -- Proportional risk capital allocation principles using GlueVaR -- Stand-alone proportional allocation principles using GlueVaR -- Proportional allocation principles based on partial contributions using GlueVaR -- An example of risk capital allocation on claim costs -- Exercices -- Capital allocation principles as compositional data -- The simplex and its vectorial and metric structure -- From capital allocation principles to compositional data -- Simplicial concepts applied to capital allocation -- The inverse of a capital allocation -- Ranking capital allocation principles -- Averaging capital allocation principles -- An illustration -- Exercises -- Appendix -- Equivalent expression for the GlueVaR distortion function -- Bijective relationship between heights and weights as parameters for GlueVaR risk measures -- Relationship between GlueVaR and Tail Distortion risk measures -- Bibliography -- Biographies of the authors -- Index. |
| 588 ## - SOURCE OF DESCRIPTION NOTE | |
| Source of description note | Description based on publisher supplied metadata and other sources. |
| 590 ## - LOCAL NOTE (RLIN) | |
| Local note | Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2023. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries. |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Guill�en, Montserrat. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Santolino, Miguel. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Relationship information | Print version: |
| Main entry heading | Belles-Sampera, Jaume |
| Title | Risk Quantification and Allocation Methods for Practitioners |
| Place, publisher, and date of publication | Amsterdam : Amsterdam University Press,c2017 |
| International Standard Book Number | 9789462984059 |
| 797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN) | |
| Corporate name or jurisdiction name as entry element | ProQuest (Firm) |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Atlantis Studies in Computational Finance and Financial Engineering Series |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://ebookcentral.proquest.com/lib/bacm-ebooks/detail.action?docID=6639843">https://ebookcentral.proquest.com/lib/bacm-ebooks/detail.action?docID=6639843</a> |
| Public note | Click to View |
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