Sökning: "Mogens Steffensen"

Hittade 2 avhandlingar innehållade orden Mogens Steffensen.

1. 1. Theoretical and Practical Applications of Probability : Excursions in Brownian Motion, Risk Capital Stress Testing, and Hedging of Power Derivatives

   Författare :Andreas Lindell; Håkan Andersson; Mogens Steffensen; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik; matematisk statistik; Mathematical Statistics;

   Sammanfattning : The thesis treats three different areas; (i) Ranked increments of stable processes and ranked excursions of Brownian motion, (ii) Sufficient capital levels for banks, and (iii) Trading strategies for reduction of the fluctuations of revenues for power plants.The first part is a theoretcial investigation involved with the calculation of distribution functions concerning special properties of stable processes. LÄS MER

3. 2. Stochastic modelling in disability insurance

   Författare :Björn Löfdahl; Boualem Djehiche; Mogens Steffensen; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of two papers related to the stochastic modellingof disability insurance. In the first paper, we propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. LÄS MER