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Modeling, measuring and managing risk. (English) Zbl 1153.91023

Hackensack, NJ: World Scientific (ISBN 978-981-270-740-6/hbk). xv, 286 p. (2007).
The book is an introduction into the quantification and the optimal management of risks. The authors present all the risk analysis chain: modeling, measuring and managing risk. The structure of the book reflects this three step analysis.
Chapter 1, Modeling uncertain outcomes, deals with modeling.
Chapter 2, Measuring single-period risk, and Chapter 3, Measuring multi-period risk, present measuring of risks.
Chapter 4, Single-stage decision models, Chapter 5, Multi-stage decision models for financial management, and
Chapter 6, Multi-stage decision models for electricity management, introduce into risk management.
A particular emphasis is put on multi-period risk measuring and managing. In the multi-period setting, the line between measuring and managing is very close. This line is given by multi-period stochastic optimization.
The book is very useful for researchers, professionals and students in the risk area.

MSC:

91B30 Risk theory, insurance (MSC2010)
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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