Sökning: "Lindskog Filip"

Visar resultat 1 - 5 av 9 avhandlingar innehållade orden Lindskog Filip.

  1. 1. Waiting in real options with applications to real estate development valuation

    Författare :Fredrik Armerin; Wilhelmsson Mats; Lindskog Filip; KTH; []
    Nyckelord :SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; Real options; Incomplete markets; Fastigheter och byggande; Real Estate and Construction Management;

    Sammanfattning : In this thesis two dierent problems regarding real options are studied. The rst paper discusses the valuation of a timing option in an irreversible investment when the underlying model is incomplete. LÄS MER

  2. 2. Dynamic valuation of insurance cash flows subject to capital requirements

    Författare :Hampus Engsner; Filip Lindskog; Mathias Lindholm; Patrick Cheridito; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Valuation; Risk measures; matematisk statistik; Mathematical Statistics;

    Sammanfattning : Insurance companies are required by regulation to be in possession of liquid assets that ensure that they can meet their obligations to policyholders with high probability. The amount is usually determined by an actuarial valuation, with for instance the Solvency II regulatory framework providing standard formulae. LÄS MER

  3. 3. Multi-period valuation of insurance liabilities subject to capital requirements

    Författare :Hampus Engsner; Filip Lindskog; Mathias Lindholm; Albrecher Hansjörg; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES;

    Sammanfattning : In the papers presented here, approaches to multi-period valuation of a liability cashflow in runoff, subject to repeated capital requirements, are developed and analyzed. The valuation approaches are inspired by current risk-based regulatory frameworks for the insurance industry, and consistent with the fundamental principles underlying them. LÄS MER

  4. 4. Stochastic epidemics on random networks

    Författare :Abid Ali Lashari; Pieter Trapman; Filip Lindskog; Peter Neal; Stockholms universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; Branching process; Configuration model; Random graph; Epidemic process; Final size; Threshold behaviour; Duration of an epidemic; Vaccination; matematisk statistik; Mathematical Statistics;

    Sammanfattning : This thesis considers stochastic epidemic models for the spread of epidemics in structured populations. The asymptotic behaviour of the models is analysed by using branching process approximations. The thesis contains four manuscripts. LÄS MER

  5. 5. Topics in importance sampling and derivatives pricing

    Författare :Johan Nykvist; Filip Lindskog; Bert Zwart; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : This thesis consists of four papers, presented in Chapters 2-5, on the topics of derivatives pricing and importance sampling for stochastic processes.In the first paper a model for the evolution of the forward density of the future value of an asset is proposed. LÄS MER