Essays about: "Rasmus Guterstam"

Found 2 essays containing the words Rasmus Guterstam.

1. 1. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

   University essay from KTH/Matematisk statistik

   Author : Rasmus Guterstam; Vidar Trojenborg; [2021]
   Keywords : Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

   Abstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE

3. 2. Exploring a personal property pricing method in insurance context using multiple regression analysis

   University essay from KTH/Matematisk statistik

   Author : Rasmus Guterstam; Vidar Trojenborg; [2019]
   Keywords : Applied Mathematics; Multiple Linear Regression; Insurance; Pricing; Valuation; Claims; Smartphone; Actual Cash Value; Tillämpad Matematik; Multipel Linjär Regression; Försäkring; Prissättning; Värdering; Försäkringsärende; Verkligt Kontant Värde;

   Abstract : In general, insurance companies and especially their clients face long and complicated claims processes where payments rarely, and almost reluctantly, are made the same day. A part of this slow moving procedure is the fact that in some cases the insurer has to value the personal property themselves, which can be a tedious process. READ MORE