Stochastic Taylor expansions and saddlepoint approximations for risk management

Subjects

Subjects :

STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG)
RISIKOTHEORIE (WAHRSCHEINLICHKEITSRECHNUNG)
VALUE-AT-RISK MODELS (FINANCIAL MATHEMATICS)
STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY)
SADDLEPOINT APPROXIMATION (MATHEMATICAL ANALYSIS)
RISIKOMANAGEMENT (BETRIEBSWIRTSCHAFT)
TAYLORSCHE FORMEL IM REELLEN (ANALYSIS)
SATTELPUNKTAPPROXIMATION (ANALYSIS)
VALUE-AT-RISK-MODELLE (FINANZMATHEMATIK)
EDGEWORTH-ENTWICKLUNG (ANALYSIS)
RISK MANAGEMENT (BUSINESS ECONOMICS)
TAYLOR FORMULA IN THE REAL DOMAIN (MATHEMATICAL ANALYSIS)
RISK THEORY (PROBABILITY THEORY)
EDGEWORTH EXPANSION (MATHEMATICAL ANALYSIS)
FOS: Mathematics
ddc:510
Mathematics

Details

Language :

English

Database :

OpenAIRE

Accession number :

edsair.doi.dedup.....8267fb12cd7cb39f8e59bb6923a9be9b

Full Text :

https://doi.org/10.3929/ethz-a-004232555