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Special Topic Issue
Risk Measures: General Aspects and Applications
edited by Ludger RüschendorfIssue 24/1 (2006)
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Contributing Authors: C. Burgert, G. Carlier, R.-A. Dana, M. Denuit, J. Dhaene, H. Föllmer, M. Goovaerts, P. G. Grigoriev, D. Hernández-Hernández, R. Kaas, R. Laeven, J. Leitner, Y. Nakano, I. Penner, G. Ch. Pflug, L. Rüschendorf, A. Schied
The rapid mathematical development of risk measures over the last 15 years led to a better understanding of the various concepts as well as to common and different methodological needs in these areas. This special issue edited by Ludger Rüschendorf presents contributions from leading scientists in the field. The issue’s first part surveys general aspects of the topic by explaining various axiomatic definitions of risk measures and their relationships and also introduces to some recent developments as e.g. dynamic risk measures. The second part is concerned with applications of risk measures to various optimization problems as portfolio optimization, risk sharing, and robust utility optimization.
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