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
Abstract: 
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
http://hdl.handle.net/20.500.12708/10509
Library ID: AC15325465
Organisation: E105 - Institut für Stochastik und Wirtschaftsmathematik 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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