Mere tveganja : magistrsko delo

Šifrer, Miha (author), Košir, Tomaž (mentor)

V delu predstavimo mere tveganja. V prvem delu obravnavamo osnovne pojme in lastnosti mer tveganja. V drugem delu izpeljemo potrebna orodja iz funkcionalne analize in teorije mere, ki jih nato uporabimo pri predstavitvi konveksnih mer tveganja s pomočjo pričakovane vrednosti slučajnih spremenljivk. Na koncu obravnavamo še predstavitev dveh posebnih mer tveganja.

• Language: Slovenian
• Keywords: mera tveganja, konveksna mera tveganja, koherentna mera tveganja
• Work type: Master's thesis/paper
• Organization: FMF - Faculty of Mathematics and Physics
• Year: 2020
• PID: 20.500.12556/RUL-113803
• UDC: 517.9
• COBISS.SI-ID: 18944857
• Publication date in RUL: 05.02.2020

Secondary language

• Language: English
• Title: Risk measures

Abstract

In this thesis we present risk measures. In the first section, basic notions and properties are introduced. The second part begins with an overview of the necessary tools from functional analysis and measure theory, which are then used for the representation of convex risk measures in terms of expected value of random variables. At the end, we present two special risk measures.

• Keywords: risk measure, convex risk measure, coherent risk measure