Search for dissertations about: "coherent and convex measures of risk"

Found 2 swedish dissertations containing the words coherent and convex measures of risk.

2. 1. Aspects of cash-flow valuation

   Author : Fredrik Armerin; Boualem Djehiche; Bjarne Astrup Jensen; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; arbitrage; coherent and convex measures of risk; immunization; insurance; martingale methods; Matematisk statistik; Mathematical statistics; Matematisk statistik;

   Abstract : This thesis consists of five papers. In the first two papers we consider a general approach to cash flow valuation, focusing on dynamic properties of the value of a stream of cash flows. The third paper discusses immunization theory, where old results are shown to hold in general deterministic models, but often fail to be true in stochastic models. READ MORE

4. 2. On risk-coherent input design and Bayesian methods for nonlinear system identification

   Author : Patricio E. Valenzuela Pacheco; Cristian Rojas; Daniel Rivera; KTH; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; System identification; input design; Bayesian methods; nonlinear models; risk theory; Electrical Engineering; Elektro- och systemteknik;

   Abstract : System identification deals with the estimation of mathematical models from experimental data. As mathematical models are built for specific purposes, ensuring that the estimated model represents the system with sufficient accuracy is a relevant aspect in system identification. READ MORE