Sökning: "Generalized Pareto Fördelning"

Hittade 5 uppsatser innehållade orden Generalized Pareto Fördelning.

  1. 1. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Eric Jakobsson; Thor Åhlgren; [2022]
    Nyckelord :Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

    Sammanfattning : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. LÄS MER

  3. 2. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Matilda Ekermann; Ida Swartling; [2022]
    Nyckelord :Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

    Sammanfattning : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. LÄS MER

  4. 3. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

  5. 4. Robust portfolio optimization with Expected Shortfall

    Master-uppsats, KTH/Matematisk statistik

    Författare :Daniel Isaksson; [2016]
    Nyckelord :Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

    Sammanfattning : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. LÄS MER

  7. 5. Extremvärdesanalys av grundvattennivåmätserier.

    Master-uppsats, KTH/Mark- och vattenteknik

    Författare :Ezra Haaf; [2014]
    Nyckelord :Grundvattennivå; Extremvärdesteori; Mätintervall; Årstidsfluktuation;

    Sammanfattning : Syftet med detta examensarbete är att kunna beräkna sannolikheten av extrema grundvattennivåers återkomsttid. Detta är av betydelse för till exempel dimensionering av grundläggning när risken för hydraulisk bottenupptryckning eller skredrisk måste vantifieras. LÄS MER