Sökning: "Filip Erntell"

Hittade 2 uppsatser innehållade orden Filip Erntell.

1. 1. On Modeling Insurance Claims using Copulas

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Filip Erntell; [2013]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : In this master's thesis, a copula approach is used to model the number of claims made by a customer holding three insurances. It is important for insurance companies to have good models for the risk proles of their customers, and the number of claims is a key element in calculating the expected cost for the company. LÄS MER

3. 2. Using Approximative Methods in Riemann Manifold Metropolis Adjusted Langevin Algorithm

   Magister-uppsats, Lunds universitet/Matematisk statistik

   Författare :Filip Erntell; [2012]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : When sampling from target densities with high correlation using the Metropolis-Hastings algorithm, performance can be improved by considering a discretization of a Langevin diffusion defined on the Riemann manifold as proposal mechanism. Through the metric tensor of the manifold, it is possible to capture the curvature of the parameter space and adjust for the correlation and differences in magnitude of variance. LÄS MER