<div class="csl-bib-body">
<div class="csl-entry">Jukic, F. (2019). <i>Application of large deviations in risk theory</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2019.52848</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2019.52848
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/10511
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dc.description.abstract
In this paper we will explore how large deviation theory can be applied to risk measures and ruin theory. After giving a detailed introduction to large deviations and a short introduction to ruin theory and risk measures, we will analyse the application to a model with an insurer and a reinsurer, a risk measure model with mixed distributions and the estimation of the ruin probability. Lastly I will present some results for the numerical implementation of the previously mentioned models.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Große Abweichungen
de
dc.subject
Satz von Mokulski
de
dc.subject
Satz von Sanov
de
dc.subject
Ruintheorie
de
dc.subject
Risikomaße
de
dc.subject
Large Deviations
en
dc.subject
Mogulski's theorem
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dc.subject
Sanov's theorem
en
dc.subject
Ruin theory
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dc.subject
Risk measures
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dc.title
Application of large deviations in risk theory
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dc.type
Thesis
en
dc.type
Hochschulschrift
de
dc.rights.license
In Copyright
en
dc.rights.license
Urheberrechtsschutz
de
dc.identifier.doi
10.34726/hss.2019.52848
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dc.contributor.affiliation
TU Wien, Österreich
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dc.rights.holder
Filip Jukic
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dc.publisher.place
Wien
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tuw.version
vor
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tuw.thesisinformation
Technische Universität Wien
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik