Μέτρα κινδύνου στην αναλογιστική επιστήμη
Risk measures in actuarial science
Πολίτης, Θεοφάνης Δ.
SubjectΔιαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Value at Risk ; Ασφάλιση -- Στατιστικές μέθοδοι
The measurement of risk is a very important tool for actuarial science, in order to quantify the risk and find an efficient way to reduce it. In this MSc thesis we will initially review the most important risk measures and examine the proper¬ties that they must satisfy. Next, we will present in more detail specific risk measures such as Value at Risk, and consider their desired properties. In addi¬tion, we will present two theoretical approaches (Expected Utility theory and Distorted Expectation theory) which use decision makers in order to decide be¬tween risky possibilities. We will also review several methods for the estimation of risk measures via random samples. Finally we include some applications of calculation and estimation of risk measures using appropriate computer soft¬ware (Wolfram Mathematica).