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Nested Simulations: Theory and Application by Maximilian Klein at Abbey's Bookshop,
Nested Simulations: Theory and Application
— —
Maximilian Klein

Nested Simulations

Theory and Application

Maximilian Klein

$162.95   $130.01

Paperback

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English
Springer Spektrum
27 March 2024
Applied mathematics
Series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
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.
By:  
Imprint:   Springer Spektrum
Country of Publication:   Germany
Edition:   2024 ed.
Dimensions:   Height: 210mm,  Width: 148mm, 
ISBN:   9783658438524
ISBN 10:   3658438525
Series:   Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Pages:   137
Publication Date:  
Audience:   Professional and scholarly ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active

 Maximilian Klein holds a PhD in mathematics from the University of Augsburg. Currently, he works as a portfolio manager at an asset management company.

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