Granularity theory with applications to finance and insurance
Auteur :
Gagliardini, Patrick / Gouriéroux, Christian
Éditeur :
Cambridge University Press
ISBN :
9781107070837
Date de publication :
6 oct. 2014
Dimensions :
23,5 x 15,7 x 1,5 cm
Poids :
420 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This book provides the first comprehensive overview of the granularity theory applied to risk analysis in finance and insurance. The granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.