Sökning: "Fredrik Giertz Jonsson"

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  1. 1. Analysis and Optimization of aPortfolio of Catastrophe Bonds

    Master-uppsats, KTH/Matematisk statistik

    Författare :Fredrik Giertz Jonsson; [2014]
    Nyckelord :;

    Sammanfattning : This Master's Thesis in mathematical statistics has the two major purposes; (i) to model and measure the risk associated with a special type of reinsurance contract, the catastrophe bond, and (ii) to analyze and develop methods of portfolio optimization suitable for a portfolio of catastrophe bonds. Two pathways of modeling potential catastrophe bond losses are analyzed; one method directly modeling potential contract losses and one method modeling the underlying contract loss governing variables. LÄS MER