Update: The thesis is no longer available online. Please, send requests to torben@actuar.dk

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.

Torben Brandt
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