Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables

Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables

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In this thesis the performances of different approximations are compared for a standard actuarial and financial problem: the estimation of quantiles and conditional tail expectations of the final value of a series of discrete cash flows. To calculate the risk measures such as quantiles and Conditi...

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Bibliographic Details
Main Author: Karniychuk, Maryna
Other Authors: Technische Universität Chemnitz
Format: Dissertation
Language:English
Published: 2007
Subjects:
info:eu-repo/classification/ddc/510
ddc:510
Risikomaß
Value at Risk
Comonotonicity
Conditional Tail Expectation
Final value
Lognormal approximation
Random variable
Reciprocal Gamma approximation
Risk measure
Online Access:http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700024
https://monarch.qucosa.de/id/qucosa%3A17598
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Internet

http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700024
https://monarch.qucosa.de/id/qucosa%3A17598
https://monarch.qucosa.de/api/qucosa%3A17598/attachment/ATT-0/
https://monarch.qucosa.de/api/qucosa%3A17598/attachment/ATT-1/

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