This chapter provides an introduction and overview about modeling risks in insurance and finance. Besides the problem of adequately modeling individual risks, modeling their possibly complicated interactions and dependencies is challenging from both a theoretical and a practical point of view. Well-known concepts to model risks are presented and their strengths and weaknesses discussed.

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Risk Measures and Dependence Modeling

  • Paul Embrechts,
  • Marius Hofert

摘要

This chapter provides an introduction and overview about modeling risks in insurance and finance. Besides the problem of adequately modeling individual risks, modeling their possibly complicated interactions and dependencies is challenging from both a theoretical and a practical point of view. Well-known concepts to model risks are presented and their strengths and weaknesses discussed.