Search for dissertations about: "Skewness and kurtosis"

Showing result 1 - 5 of 17 swedish dissertations containing the words Skewness and kurtosis.

2. 1. Semi-Markov Models for Insurance and Option Rewards

   Author : Fredrik Stenberg; Dmitrii Silvestrov; Kimmo Eriksson; Nikolaos Limnios; Mälardalens högskola; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; semi-Markov process; discrete time; insurance; actuarial; higher order reward; disability; variance; skewness; kurtosis; reward process; stochastic volatility; controlling semi-Markov process; Monte Carlo algorithm; convergence; optimal stopping; skeleton approximation; regime switching; semi-Markov modulated; European option; American option; Lévy process.; MATHEMATICS; MATEMATIK; Matematik tillämpad matematik;

   Abstract : This thesis presents studies of semi-Markov models for insurance and option rewards. The thesis consists of the introduction and six papers. The introduction presents the results of the thesis in an informal way.In paper A, a general semi-Markov reward model is presented. READ MORE

4. 2. Hybrid digital twins: A co-creation of data science and physics

   Author : Antonio Galvez; Diego Galar; Uday Kumar; Dammika Seneviratne; Dimitrios Kyritsis; Luleå tekniska universitet; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; hybrid modelling; physics-based model; data-driven model; HVAC system; Railway; Drift och underhållsteknik; Operation and Maintenance;

   Abstract : Safety is more important than reliability or efficiency in railway, aerospace, oil & gas, and chemical industries. Regulations are very restrictive in sectors where safety is paramount. READ MORE

5. 3. Aspects of Moment Testing when p>n

   Author : Zhizheng Wang; Thomas Holgersson; Miguel Fonseca; Linnéuniversitetet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; High-dimensional data; Asymptotic distribution; Kolmogorov condition; Monte Carlo simulation; Hypothesis testing; Skewness and kurtosis; Statistics Econometrics; Statistik;

   Abstract : This thesis concerns the problem of statistical hypothesis testing for mean vector as well as testing for non-normality in a high-dimensional setting which is called the Kolmogorov condition. Since we consider mainly the first and the second moment in testing for mean vector and we utilize the third and the fourth moment in testing for non-normality, this thesis concerns a more general moment testing problem. READ MORE

6. 4. Reliability Assessment and Probabilistic Optimization in Structural Design

   Author : Rami Mansour; Mårten Olsson; Xioping Du; KTH; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Reliability-based design optimization RBDO ; First- and Second-Order Reliability Method FORM and SORM ; Response Surface Single Loop RSSL ; Probability of failure; Reliability Assessment; Probability of fatigue failure; Hållfasthetslära; Solid Mechanics;

   Abstract : Research in the field of reliability based design is mainly focused on two sub-areas: The computation of the probability of failure and its integration in the reliability based design optimization (RBDO) loop. Four papers are presented in this work, representing a contribution to both sub-areas. READ MORE

7. 5. Essays on VIX Futures and Options

   Author : Bujar Huskaj; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

   Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE