Analysis of the Impact of Suboptimal Assumptions on the Modeling of the Aggregation of Risks
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Beschreibung
The aim of this thesis is the analysis of certain effects regarding the aggregation of log-normal distributed risks or random variates.
The aim of this thesis is the analysis of certain effects regarding the aggregation of log-normal distributed risks or random variates. Multi-level aggregation designs and a wide range of interdependencies are used for this purpose. In addition, the results are compared to corresponding aggregations of normally distributed risks or random variates. Due to the significant complexity of the research question, the study is conducted via numerical simulation based on a created model.
Autor*in
Johann Markus Schauerhuber
During his studies and academic resp. professional activities Prof. Dr. Dr. Johann Markus Schauerhuber has been intensively involved in statistical programming, stochastic, risk theory, simulation and mathematical modeling.
Most of his professional experience has been gained in the university domain as an academic director, postdoc lecturer / researcher and in government authorities.
Email: jm_schauerhuber@gmx.at
Themen in »Analysis of the Impact of Suboptimal Assumptions on the Modeling of the Aggregation of Risks«
Aggregation log-normal distribution multilevel simulation suboptimal assumptions