Robust Prediction with Risk Measures

Thumbnail Image

Files

Yerlan Duisenbay Thesis.pdf (845.78 KB)

Date

2020-04-29

Authors

Duisenbay, Yerlan

Journal Title

Journal ISSN

Volume Title

Publisher

Nazarbayev University School of Sciences and Humanities

Abstract

This thesis deals with coherent risk measures and its simulation with respect to different probability distributions. This study gives a numerical scheme to approximate any coherent risk measure via a sum of specific quantiles. We give the theoretical background on coherent risk measures in the first part and in the second part of this thesis we illustrate our findings via several simulations.

Description

Keywords

Research Subject Categories::MATHEMATICS

Citation

Duisenbay, Y. (2020). Robust Prediction with Risk Measures (Master’s thesis, Nazarbayev University, Nur-Sultan, Kazakhstan). Retrieved from https://nur.nu.edu.kz/handle/123456789/4684

URI

http://nur.nu.edu.kz/handle/123456789/4684

Collections

02. Master's Thesis