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

Show other versions (1)

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...

Full description

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
https://monarch.qucosa.de/api/qucosa%3A17598/attachment/ATT-0/
https://monarch.qucosa.de/api/qucosa%3A17598/attachment/ATT-1/

Similar Items

Similar Items