Title: Saddlepoint approximation of risk measures
Other Titles: Sattelpunkt-Approximation von Risikomaßen
Language: English
Authors: Weiler, Lorenz Anton 
Qualification level: Diploma
Advisor: Gerhold, Stefan 
Issue Date: 2019
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://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-122246
Library ID: AC15325465
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Appears in Collections:Thesis

Files in this item:

Show full item record

Page view(s)

checked on May 10, 2021


checked on May 10, 2021

Google ScholarTM


Items in reposiTUm are protected by copyright, with all rights reserved, unless otherwise indicated.