Sökning: "actuarial mathematics"

Visar resultat 26 - 30 av 43 avhandlingar innehållade orden actuarial mathematics.

  1. 26. On Parameter Estimation and Control of Time-Varying Stochastic Systems

    Författare :Bengt Lindoff; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Adaptive Predictive Control; Adaptive Stochastic Control; Dual Control; Convergence Analysis; Quadratic Forms; Forgetting Factor; Recursive Least Squares; Recursive Estimation; Linear Systems; Time-Varying Stochastic Systems; operations research; programming; actuarial mathematics; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : This thesis is about parameter estimation and control of time-varying stochastic systems. It can be divided into two parts. The first part deals with an estimation algorithm commonly used when estimating parameters in time-varying stochastic systems, the Recursive Least Squares (RLS) algorithm with forgetting factor. LÄS MER

  3. 27. Statistical Modeling of Diffusion Processes with Financial Applications

    Författare :Erik Lindström; Finansiell matematik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; Statistik; operations research; programming; Option pricing; Model validation; Recursive estimation; Diffusion processes; Maximum Likelihood Estimation; operationsanalys; programmering; aktuariematematik; Statistics;

    Sammanfattning : This thesis consists of five papers (Paper A-E) on statistical modeling of diffusion processes. Two papers (Paper A & D) consider Maximum Likelihood estimators for non-linear diffusion processes. LÄS MER

  4. 28. Statistical analysis of non-Gaussian environmental loads and responses

    Författare :Ulla E.B. Machado; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programmering; aktuariematematik; Statistik; operationsanalys; Statistics; operations research; programming;

    Sammanfattning : The thesis deals mainly with offshore engineering related problems where the dominant source of uncertainty is related to the loading. Loads arise from environmental random processes; e.g. waves, currents and winds. LÄS MER

  5. 29. Space-Time Prediction of Ocean Winds

    Författare :Anders Malmberg; Matematisk statistik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; operations research; image warping; thin-plate splines.; near-surface ocean winds; variogram parameters; Space-time Kalman filtering; real-time assimilation; residual wind speed; actuarial mathematics; programming; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : The topic of this thesis is inspired by an experiment in which a vessel, laying a submarine cable, was provided with forecasts overlaid with satellite observations of significant wave height. During the operation, the vessel was close to an adverse weather area and the personnel on board could confirm that the forecast was not as close to the "ground truth" as the satellite observation was. LÄS MER

  7. 30. Monte Carlo Results for Bootstrap Tests in Systems with Integrated-Cointegrated Variables

    Författare :Panagiotis Mantalos; Statistiska institutionen; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Granger-causality; Monte Carlo; Cointegration; Bootstrap; Statistik; operationsanalys; programmering; aktuariematematik;

    Sammanfattning : When we study the properties of a test procedure, two aspects are of prime importance. Firstly, we wish to know if the actual size of the test (i.e., the probability of rejecting the null when true) is close to the nominal size (used for calculating the critical values). LÄS MER