Browsing Theses and Dissertations (Mathematics and Applied Mathematics) by Supervisor "Kufakunesu, Rodwell"
- UPSpace Home
- →
- Natural and Agricultural Sciences
- →
- Mathematics and Applied Mathematics
- →
- Theses and Dissertations (Mathematics and Applied Mathematics)
- →
- Browsing Theses and Dissertations (Mathematics and Applied Mathematics) by Supervisor
JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing Theses and Dissertations (Mathematics and Applied Mathematics) by Supervisor "Kufakunesu, Rodwell"
Now showing items 1-6 of 6
-
(University of Pretoria, 2015)The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial ...
-
(University of Pretoria, 2021)In this thesis, we study the representation of dynamic risk measures based on backward stochastic differential equations (BSDEs) and ergodic-BSDEs, and capital allocation. We consider the equations driven by the ...
-
(University of Pretoria, 2016)The purpose of this dissertation is to solve an optimal investment, consumption and life insurance problem described by jump-diffusion processes in two settings. First, we consider a problem with random parameters of a ...
-
(University of Pretoria, 2017)The 2008/9 financial crisis intensified the search for realistic return models, that capture real market movements. The assumed underlying statistical distribution of financial returns plays a crucial role in the evaluation ...
-
(University of Pretoria, 2018)This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance ...
-
(University of Pretoria, 2014)The purpose of this study is to investigate the pricing of variable annuity embedded derivatives in a Lévy process setting. This is one of the practical issues that continues to face life insurers in the management of ...
Now showing items 1-6 of 6