Mere tveganja
magistrsko delo
Abstract
V delu predstavimo mere tveganja. V prvem delu obravnavamo osnovne pojme in lastnosti mer tveganja. V drugem delu izpeljemo potrebna orodja iz funkcionalne analize in teorije mere, ki jih nato uporabimo pri predstavitvi konveksnih mer tveganja s pomočjo pričakovane vrednosti slučajnih spremenljivk. Na koncu obravnavamo še predstavitev dveh posebnih mer tveganja.
Keywords
matematika;mera tveganja;konveksna mera tveganja;koherentna mera tveganja;
Data
| Language: | Slovenian |
|---|---|
| Year of publishing: | 2020 |
| Typology: | 2.09 - Master's Thesis |
| Organization: | UL FMF - Faculty of Mathematics and Physics |
| Publisher: | [M. Šifrer] |
| UDC: | 517.982 |
| COBISS: |
18944857
|
| Views: | 945 |
| Downloads: | 175 |
| Average score: | 0 (0 votes) |
| Metadata: |
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Other data
| Secondary language: | English |
|---|---|
| Secondary title: | Risk measures |
| Secondary abstract: | In this thesis we present risk measures. In the first section, basic notions and properties are introduced. The second part begins with an overview of the necessary tools from functional analysis and measure theory, which are then used for the representation of convex risk measures in terms of expected value of random variables. At the end, we present two special risk measures. |
| Secondary keywords: | risk measure;convex risk measure;coherent risk measure; |
| Type (COBISS): | Master's thesis/paper |
| Study programme: | 0 |
| Embargo end date (OpenAIRE): | 1970-01-01 |
| Thesis comment: | Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Matematika - 2. stopnja |
| Pages: | VII, 42 str. |
| ID: | 11399758 |
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