magistrsko delo
Miha Šifrer (Author), Tomaž Košir (Mentor)

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:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [M. Šifrer]
UDC: 517.982
COBISS: 18944857 Link will open in a new window
Views: 945
Downloads: 175
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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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