Del i serien Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Nested Simulations: Theory and Application
Häftad, Engelska, 2024
1 079 kr
Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.
Maximilian Klein analyses nested Monte Carlo simulations for the approximation of conditional expected values. Thereby, the book deals with two general risk functional classes for conditional expected values, on the one hand the class of moment-based estimators (notable examples are the probability of a large loss or the lower partial moments) and on the other hand the class of quantile-based estimators. For both functional classes, the almost sure convergence of the respective estimator is proven and the underlying convergence speed is quantified. In particular, the class of quantile-based estimators has important practical consequences especially for life insurance companies since the Value-at-Risk falls into this class and thus covers the solvency capital requirement problem. Furthermore, a novel non parametric confidence interval method for quantiles is presented which takes the additional noise of the inner simulation into account.
Produktinformation
- Utgivningsdatum2024-03-27
- Mått148 x 210 x 9 mm
- Vikt212 g
- FormatHäftad
- SpråkEngelska
- SerieMathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
- Antal sidor137
- Upplaga2024
- FörlagSpringer Fachmedien Wiesbaden
- ISBN9783658438524
Tillhör följande kategorier
Hoppa över listan
Mer från samma serie
Accelerated Solution Method for Two-Stage Stochastic Models in Disaster Management
Emilia Graß
Häftad, 2018
719 kr
Dynamic Network Flows with Adaptive Route Choice based on Current Information
Lukas Graf
Häftad, 2024
1 009 kr
Hoppa över listan
Du kanske också är intresserad av
Accelerated Solution Method for Two-Stage Stochastic Models in Disaster Management
Emilia Graß
Häftad, 2018
719 kr
Dynamic Network Flows with Adaptive Route Choice based on Current Information
Lukas Graf
Häftad, 2024
1 009 kr
- Nyhet
Del 3
- Nyhet
Del 11