Risk theory Decision-making
under uncertainty

Russian version

News

August 14, 2006.
A working paper has been appended.
August 12, 2006.
Papers published in 2005 and 2006 have been added to the papers page.
August 12, 2006.
Illustration of nonnormality of a sum of two normal variables may be found here page.
March 4, 2005.
A few papers published in 2003 and 2004 have been added to the papers page.
December 21, 2004.
Announcement of the 4-th FAM conference has been added.
December 21, 2004.
Announcement of the 5-th International Scientific School MASR-2005 has been added.


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Risk theory is a theory of decision-making under probabilistic uncertainty. From mathematical point of view it is a branch of probability theory, while its applications cover all aspects of life. Financial applications are most advanced, including banking, insurance, managing market and credit risks, investments and business risks. To name just a few, there are also applications to managing risks of health hazard, environment pollution, engineering and ecological risks.

Introduction to risk theory

Here you will find an introduction to risk theory, permanently updated lectures in risk theory, delivered to students of the Krasnoyarsk state university, and some other Krasnoyarsk universities.

Downloading lectures and files

You can download lectures and some other files from here. As of now lectures are being translated into English; they will be presented gradually upon completing.

News and bulletin board

Bulletin board contains news and events announcement: seminars, conferences and the like.

Glossary

Some terms are explained in a brief hyperlinked glossary.

A handbook of distributions describes most often used probability distributions, presents their parameters and characteristics, displays pictures of distribution functions. Modeling random variables for Monte Carlo methods is presented as well.

Risk theory

Russian version of this site is also available. One can find more downloadable materials in Russian there.

Guestbook

After reading presented materials please write down your suggestions and impressions into guest book. Each entry would be greatly appeciated. Thank you.

Contact

Contact information may be found here. Click here, if you just want to drop me a message.


A new rubric Illustration was introduced recently. Here one can find graphical representation of basic ideas of risk theory and its applications. Older contents of the rubric is being kept here.


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Illustration

Admissible portfolios in a Markowitz problem
Efficient frontier
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