Nested Simulations : Theory and Application - Maximilian Klein

Instant online reading.
Don't wait for delivery!

Nested Simulations

Theory and Application

By: Maximilian Klein

Write A Review

Paperback | 3 May 2024

At a Glance

Paperback
156 Pages

Dimensions(cm)
21.01 x 14.81 x 0.84

Paperback

$109.00

or 4 interest-free payments of $27.25 with

or

Ships in 5 to 7 business days

Maximilian Klein analyses nested Monte Carlo simulations for the approximation of conditional expected values. Thereby, the book deals with two general risk functional classes for conditional expected values, on the one hand the class of moment-based estimators (notable examples are the probability of a large loss or the lower partial moments) and on the other hand the class of quantile-based estimators. For both functional classes, the almost sure convergence of the respective estimator is proven and the underlying convergence speed is quantified. In particular, the class of quantile-based estimators has important practical consequences especially for life insurance companies since the Value-at-Risk falls into this class and thus covers the solvency capital requirement problem. Furthermore, a novel non parametric confidence interval method for quantiles is presented which takes the additional noise of the inner simulation into account.

Shipping

	Standard Shipping	Express Shipping
Metro postcodes:	$9.99	$14.95
Regional postcodes:	$9.99	$14.95
Rural postcodes:	$9.99	$14.95

Orders over $0.00 qualify for free shipping.

How to return your order

At Booktopia, we offer hassle-free returns in accordance with our returns policy. If you wish to return an item, please get in touch with Booktopia Customer Care.

Additional postage charges may be applicable.