Essays about: "risk mathematics"

Showing result 1 - 5 of 172 essays containing the words risk mathematics.

  1. 1. The deductibles impact on the risk premium

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Ludvig Bergman; [2023]
    Keywords : deductible; insurance mathematics; non-life insurance pricing; Försäkringsmatematik; självrisk; självrisker;

    Abstract : The aim of this master thesis is to derive methods that assesses the impact the deductiblehas on the risk premium of an insurance contract. The additive structure of a deductiblenecessitates approaches beyond treating it as a regular covariate in a generalized linearmodel for predicting the risk premium. READ MORE

  3. 2. Robust Portfolio Optimization

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Anna Mårtensson; Edith Frisk Gärtner; [2023]
    Keywords : Mathematics; Optimization and Systems Theory;

    Abstract : The objective of robust portfolio optimization is to find a way to allocate capital to some financial assets such that portfolio return is maximized in the worst-case scenario, which is desirable for investors with a low tolerance for risk. This study aims to apply the robust approach to asset allocation based on 30 of the biggest stocks on the Stockholm Stock Exchange. READ MORE

  4. 3. Robust Statistical Jump Models with Feature Selection

    University essay from Lunds universitet/Matematisk statistik

    Author : Jonatan Persson; [2023]
    Keywords : Clustering; Jump; Feature selection; Robust; Mathematics and Statistics;

    Abstract : A large area in statistics and machine learning is cluster analysis. This field of research concerns the design of algorithms that allow computers to automatically categorize a set of observations into different groups in a reasonable way, without any prior information about which observations belongs to which group. READ MORE

  5. 4. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    University essay from KTH/Matematik (Avd.)

    Author : Idun Cederberg; Ida Cui; [2023]
    Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

  6. 5. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Wölner-Hanssen; [2023]
    Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE