Estimation of Risk Measures
in Elliptical Distributions
Update: The thesis is no longer available online. Please, send requests to email@example.com
This page contains a copy of my thesis for the master degree in insurance mathematics from University of Copenhagen. The thesis was supervised by Professor Thomas Mikosch.
Download: Thesis in PDF-format Thesis in PS-format
Additional source code written in R and data files with intermediate and final results of the simulations can be downloaded here (36 MB).
A slide show from the presentation is available here in PDF-format.