Sökning: "Generalized Laplace distribution"

Hittade 2 uppsatser innehållade orden Generalized Laplace distribution.

1. 1. A simple model of volatility in financial data - An alternative to GARCH models

   Magister-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Alexandra Milton; Marcus Svensson; [2019]
   Nyckelord :Volatility; Financial time series; Autoregressive gamma process; Generalized Laplace distribution; Autoregressive gamma variance Gaussian mixture model; Mathematics and Statistics;

   Sammanfattning : Financial return series are often characterized by volatility clusters and a leptokurtic distribution. Many models that account for these properties exist, with the GARCH model proposed by Bollerslev (1986) being the most popular. This thesis explores an alternative model to capture the stochastic volatility in financial time series. LÄS MER

3. 2. Spatial Statistical Modeling of Insurance Risk

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Oskar Tufvesson; [2017]
   Nyckelord :Insurance; Spatial modeling; Geographical pricing; Bayesian hierarchical modeling; Integrated Nested Laplace Approximation; Mathematics and Statistics;

   Sammanfattning : The aim of this thesis is to provide a statistical method for assessing the relative insurance risk associated with the policyholders geographical location. Number of claims and claims cost are modeled separately, where the Poisson distribution is assumed for the former and the Gamma distribution is assumed for the latter. LÄS MER