Stochastic Taylor expansions and saddlepoint approximations for risk management
dc.contributor.author
Studer, Michael
dc.contributor.supervisor
Delbaen, Freddy
dc.contributor.supervisor
Embrechts, Paul
dc.date.accessioned
2017-06-13T03:13:23Z
dc.date.available
2017-06-13T03:13:23Z
dc.date.issued
2001
dc.identifier.uri
http://hdl.handle.net/20.500.11850/145431
dc.identifier.doi
10.3929/ethz-a-004232555
dc.format
application/pdf
dc.language.iso
en
dc.publisher
ETH Zürich
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
RISIKOMANAGEMENT (BETRIEBSWIRTSCHAFT)
dc.subject
TAYLORSCHE FORMEL IM REELLEN (ANALYSIS)
dc.subject
STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG)
dc.subject
RISIKOTHEORIE (WAHRSCHEINLICHKEITSRECHNUNG)
dc.subject
SATTELPUNKTAPPROXIMATION (ANALYSIS)
dc.subject
VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK)
dc.subject
EDGEWORTH-ENTWICKLUNG (ANALYSIS)
dc.subject
RISK MANAGEMENT (BUSINESS ECONOMICS)
dc.subject
TAYLOR FORMULA IN THE REAL DOMAIN (MATHEMATICAL ANALYSIS)
dc.subject
STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY)
dc.subject
RISK THEORY (PROBABILITY THEORY)
dc.subject
SADDLEPOINT APPROXIMATION (MATHEMATICAL ANALYSIS)
dc.subject
VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS)
dc.subject
EDGEWORTH EXPANSION (MATHEMATICAL ANALYSIS)
dc.title
Stochastic Taylor expansions and saddlepoint approximations for risk management
dc.type
Doctoral Thesis
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.size
139 S.
ethz.code.ddc
DDC - DDC::5 - Science::510 - Mathematics
ethz.notes
Diss., Mathematische Wissenschaften ETH Zürich, Nr. 14242, 2001.
ethz.identifier.diss
14242
ethz.identifier.nebis
004232555
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-13T03:15:03Z
ethz.source
ECOL
ethz.identifier.importid
imp59366a403397249847
ethz.ecolpid
eth:24333
ethz.eth
yes
ethz.availability
Open access
ethz.rosetta.installDate
2017-07-18T23:44:59Z
ethz.rosetta.lastUpdated
2022-03-28T15:52:03Z
ethz.rosetta.versionExported
true
ethz.COinS
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Doctoral Thesis [29165]