Essays about: "Jacob Barnholdt"

Found 2 essays containing the words Jacob Barnholdt.

1. 1. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

   University essay from KTH/Matematisk statistik

   Author : Jacob Barnholdt; Filip Carlsson; [2020]
   Keywords : Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

   Abstract : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. READ MORE

3. 2. Predicting Large Claims within Non-Life Insurance

   University essay from KTH/Matematisk statistik

   Author : Jacob Barnholdt; Josefin Grafford; [2018]
   Keywords : Mathematical Statistics; Regression Analysis; Generalized Linear Model; Logistic Regression; Data Analysis; Non-life Insurance; Insurance Pricing; Large claims; Matematisk statistik; Regressionsanalys; Generaliserad linjär modell; Logistisk Regression; Dataanalys; Sakförsäkring; Försäkringsprissättning; Storskador;

   Abstract : This bachelor thesis within the field of mathematical statistics aims to study the possibility of predicting specifically large claims from non-life insurance policies with commercial policyholders. This is done through regression analysis, where we seek to develop and evaluate a generalized linear model, GLM. READ MORE