Sökning: "stochastic simulation"

Visar resultat 16 - 20 av 186 uppsatser innehållade orden stochastic simulation.

  1. 16. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Axel Nilsson; [2022]
    Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

  3. 17. Optimizing the Cash Reserve in a Portfolio of US Life Insurance Policies

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Alva Happe; Wassim Seifeddine; [2022]
    Nyckelord :portfolio optimization; risk management; monte carlo; value at risk; life settlements; longevity risk; cash reserve; closed-end fund;

    Sammanfattning : Hoarding a too large cash reserve is often unfavourable due to lost investment opportunities. Similarly, an insufficient cash reserve can be detrimental, as one might fail to meet payment obligations. Finding the optimal balance is nothing that is done in the blink of an eye, particularly when the underlying variable is stochastic, e.g. LÄS MER

  4. 18. Uncertainty quantification for offshore wind turbines

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Ziming Wang; [2022]
    Nyckelord :wind energy; uncertainty propagation; polynomial chaos; Rosenblatt transformation; quadrature; regression; vindenergi; osäkerhetsutbredning; polynomkaos; Rosenblatt transformation; kvadratur; regression;

    Sammanfattning : Wind energy is a field with a large number of uncertainties. The random nature of the weather conditions, including wind speed, wind direction, and turbulence intensity, influences the energy output and the structural safety of a wind farm, making its performance fluctuate and difficult to predict. LÄS MER

  5. 19. Diffusion and Camera-Noise Modelling for Analysis of Single-Particle Tracking Movies

    Master-uppsats, Lunds universitet/Beräkningsbiologi och biologisk fysik - Genomgår omorganisation

    Författare :Erik Clarkson; [2022]
    Nyckelord :reaction-diffusion; camera-noise modelling; single-particle tracking; Gillespie simulations; Physics and Astronomy;

    Sammanfattning : Interactions between T-cells and other body cells is an essential part of the immune system. It involves the binding between surface receptors of the two cells. Specifically, T-cell receptors (TCRs) bind onto pMHC (peptide-loaded major histocompatibility complex) molecules on the partnering cell surface. LÄS MER

  7. 20. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Nils Henningsson; [2022]
    Nyckelord :Copula; latent model; variational inference; Copula; latent modell; variational inference;

    Sammanfattning : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. LÄS MER