Stochastic Taylor expansions and saddlepoint approximations for risk management

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Author
Studer, Michael
Date
2001
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-004232555
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Delbaen, Freddy
Examiner: Embrechts, Paul
Publisher
ETH Zürich
Subject
RISIKOMANAGEMENT (BETRIEBSWIRTSCHAFT); TAYLORSCHE FORMEL IM REELLEN (ANALYSIS); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); RISIKOTHEORIE (WAHRSCHEINLICHKEITSRECHNUNG); SATTELPUNKTAPPROXIMATION (ANALYSIS); VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK); EDGEWORTH-ENTWICKLUNG (ANALYSIS); RISK MANAGEMENT (BUSINESS ECONOMICS); TAYLOR FORMULA IN THE REAL DOMAIN (MATHEMATICAL ANALYSIS); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY); RISK THEORY (PROBABILITY THEORY); SADDLEPOINT APPROXIMATION (MATHEMATICAL ANALYSIS); VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS); EDGEWORTH EXPANSION (MATHEMATICAL ANALYSIS)
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)  
Notes
Diss., Mathematische Wissenschaften ETH Zürich, Nr. 14242, 2001.
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