Title: Saddlepoint approximation of risk measures
Other Titles: Sattelpunkt-Approximation von Risikomaßen
Language: input.forms.value-pairs.iso-languages.en
Authors: Weiler, Lorenz Anton 
Qualification level: Diploma
Advisor: Gerhold, Stefan 
Issue Date: 2019
Weiler, L. A. (2019). Saddlepoint approximation of risk measures [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2019.61189
Number of Pages: 53
Qualification level: Diploma
This thesis outlines the application of saddlepoint approximations to portfolio theory. Knowledge about the distribution of a profit and loss random variable is of practical importance. Unfortunately, its density and distribution function are often unknown. In principle, knowledge about the moment-generating or cumulant-generating function permits to obtain both functions using certain integral inversion formulas. In practice, though, the complexity of the integration involved may be unduly costly. Fortunately, the inversion integrals can be approximated, which is where saddlepoint approximations come into play. Among various approximations, they stand out by being accurate in the tail distribution and with small sample sizes or merely a single observation.
Keywords: asymptotic expansion; Laplace transform; saddlepoint approximation; risk measure
URI: https://doi.org/10.34726/hss.2019.61189
DOI: 10.34726/hss.2019.61189
Library ID: AC15325465
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

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