Συνεπή μέτρα κινδύνου & αναμενόμενη απομείωση κινδύνου
Coherent measures & expected shortfall
Master Thesis
Date
2014-11-12View/
Subject
Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Ποσοτική ανάλυση ; Εκτίμηση, Θεωρία τηςAbstract
The purpose of this dissertation is to review the basic coherent risk measures and the expected shortfall. It aims at giving an introduction to Quantitative Risk Management and to the properties of risk measures, how they can be estimated and discuss some of the many ways they can be applied to insurance risk problems. Some extensions of these measures will also be presented and we will research how sufficient they are. First of all, this thesis analyses the Value at Risk measure and then compares it with the coherent measures such as Expected Shortfall. Some of the basic estimation methods gonna also be presented. At the end of the dissertation there is an example with real data of a greek insurance company. It estimates the basic risk measures, analyses and compares the results and the assumptions.
Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές