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Die quantitative Risikobewertung bei einem Portfolio von dichotomen Risiken mithilfe des zentralen Grenzwertsatzes

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  • Knobloch, Ralf

Abstract

In den Wirtschaftswissenschaften werden Risiken häufig mit dichotomen Zufallsvariablen modelliert. In der vorliegenden Arbeit wird an Fallbeispielen untersucht, unter welchen Bedingungen für das Gesamtrisiko eines inhomogenen Portfolios von stochastisch unabhängigen dichotomen Risiken näherungsweise von einer Normalverteilung ausgegangen werden kann. Die Normalverteilung ergibt sich aus dem zentralen Grenzwert. Die Approximation mit der Normalverteilung wird dabei auch mit der Näherung durch eine zusammengesetzte Poisson-Verteilung verglichen.

Suggested Citation

  • Knobloch, Ralf, 2021. "Die quantitative Risikobewertung bei einem Portfolio von dichotomen Risiken mithilfe des zentralen Grenzwertsatzes," Forschung am ivwKöln 2/2021, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    • Handle: RePEc:zbw:thkivw:22021
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    More about this item

    Keywords

    Dichotome Zufallsvariable; zentraler Grenzwertsatz; zusammengesetzte Poisson-Verteilung; dichotomous random variable; central limit theorem; compound Poisson distribution;
    All these keywords.

    JEL classification:

    • G - Financial Economics
    • G2 - Financial Economics - - Financial Institutions and Services
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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