In this paper we examine energy derivatives pricing. The previous studies considered the same source of uncertainty for the spot and the futures prices. We investigate the problem of futures pricing with two independent sources of risk. In general the structure of the oil and gas futures markets is closely related to some stock indices. Therefore, we develop a model for the futures market and compound derivatives with pricing in accordance with the correspondent index. We derive a framework for energy derivatives pricing, compute the price of the European call option on futures and corresponding hedging strategy. We calculate the price of the European call option adjusted for an index level, study the American put option on futures and corresponding hedging strategies.

In this paper we introduce a model of default contagion in the financail market. The structure of the companies are represented by a Heavy Gravity Portfolio, where we assume there are N sectors in the market and in each sector i, there is one big trader and ni supply companies.The supply companies in each sector are directly inuenced by the bigtrader and the big traders are also pairwise interacting with each other.This development of the Ising model is called Heavy gravity portfolioand according to this, the relation between expectation and correlationof the default of companies are derived by means of simulations utilisingthe Gibbs sampler. Finally methods for maximum likelihood estimationand for a likelihood ratio test of the interaction parameter in the modelare derived.

The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. In this paper the volatility of the exchange rate is considered by means of a Heterogeneous Autoregression Conditional Heteroskedastictity (HARCH) Model. It explains the volatility of the exchange rate market well. In addition, it is assumed that at a random time point a change of a parameter in the distribution of the random process underobservation may occur. Some methods such as the Shewhart method, the Culumative Sum Method (CUSUM) and the ExponentiallyWeighted Moving Average Method (EWMA) are investigated within the frames of this change-point problem. In order to evaluate them, Average Run Length (ARL) and Conditional Expected Delay (CED) will be used asperformance measures.

The distribution of particles in a rarefied gas in a vessel can be described by the Boltzmann equation. As an approximation of the solution to this equation, Caprino, Pulvirenti and Wagner [3] constructed a random N-particle system. In the equilibrium case, they prove in [3] that the L1-distance between the density function of k particles in the N-particle process and the k-fold product of the solution to the stationary Boltzmann equation is of order 1/N. They do this in order to show that the N-particle system converges to the system described by the stationary Boltzmann equation as the number of particles tends to infinity. This is different from the standard approach of describing convergence of an N-particle system. Usually, convergence in distribution of random measures or weak convergence of measures over the space of probability measures is used. The purpose of the present thesis is to compare different modes of convergence of the N-particle system as N tends to infinity assuming stationarity.

Fredriksons Verkstads AB i Vadstena är en modern verkstadsindustri med kompetens främst inom plåtbearbetning, svetsning, skärande bearbetning och systemmontage. Verksamheten kan delas in i de tre delarna kontraktstillverkning, konstruktion och produktion. Kontraktstillverkningen består av serier till livsmedels-, medicinteknisk och verkstadsindustrin. Fredriksons Conveyor Solutions konstruerar egna produkter i form av transportörsystem till livs- och läkemedelsindustrin. Fredriksons kunder ställer i allt högre grad krav på reducerade ledtider och ökad leveransprecision. Syftet med examensarbetet är därför att försöka reducera Fredriksons interna ledtider för ett specifikt produktsortiment. Ett första steg i arbetet med ledtidsreduceringen är att ta fram bra utarbetade prognoser. Framförallt har kvantitativa tidsseriemetoder analyserats. De enkla tidsseriemetoderna glidande medelvärde och exponentiell utjämning har undersökts i syfte att förbättra Fredriksons prognoser. Därutöver har en mer teoretisk fördjupning i avancerade tidsseriemetoder, främst ARMA-processer, genomförts. Andra faktorer som påverkar produktionsledtiden är exempelvis partiformning, ställtider, säkerhetsmekanismer, kötider och sekvensering. Även dessa faktorer har analyserats och åtgärder har föreslagits i syfte att reducera Fredriksons interna ledtider.

In this report six different models for predicting the electrical spot price on the Nordic power exchange, Nord Pool, are developed and compared. They are evaluated against the already existing model as well as the naive test, which is a forecast where the last week’s observations are used as a prognosis for the coming week. The models developed are constructed so that the models for different time resolutions are combined to create a full model. Harmonic regression with a linear trend are used to identify a yearly trend while SARIMAX/SARIMA time series models are used on a daily and hourly basis to reveal dependencies in the data.   The model with the best prediction performance is shown to be a SARIMAX model with temperature as exogenous variable on a daily resolution, together with a SARIMA model on an hourly resolution. With an average MAPE of 12.69% and a MAPE2 of 6.90% it has the smallest prediction error out of all of the competing models when doing one week forecasts on the whole year 2009.

Landstinget i Kronobergs län utförde 2006 en enkätundersökning bland elever i årskurserna 5, 8 och gymnasiets årskurs 2. Datamaterialet för gymnasieeleverna har studerats i detta arbete där den psykiska ohälsan och alkoholkonsumtion varit i fokus. Det statistiska arbetet är uppdelat i tre delar: Metodbeskrivning, hantering av programmet SPSS samt en undersökning av gymnasieelevers psykiska ohälsa och alkoholkonsumtion. I metodbeskrivningen har metoderna dikotomisering, logistisk regression, Wald, faktorinteraktion och kategorisering beskrivits. För hantering av stora datamaterial samt för att kunna ta fram statistiska samband rörande psykisk ohälsa och alkoholkonsumtion har programmet SPSS använts och illustrerats i arbetet. De förklarande variablerna som varit mest inflytelserika mot den psykiska ohälsan var ’Tycker du att du är frisk?’, ’Har du någonsin använt läkemedel tillsammans med alkohol i berusningssyfte’ samt ’Trivs du med livet?’. När undersökningen för gymnasieelevers alkoholkonsumtion studerades var de gemensamma signifikanta faktorerna för både killar och tjejer ’Skolkar du?’, ’Känner du dig ofta irriterad eller på dåligt humör?’ och ’Har någon vuxen behandlat dig fysiskt illa?’ där samtliga förklarande faktorer bidrog till en ökad sannolikhet att konsumera mycket alkohol. Då undersökning av variabeln symtom, variabeln oro samt deras interaktion studerades för killar respektive för tjejer mot den psykiska ohälsan kunde man se att variabeln symtom för killar var inflytelserik samt interaktionen mellan oro och symtom. För tjejerna var däremot variabeln oro inflytelserik samt variabeln symtom men inte deras interaktion.

<p>In today’s society we are surrounded by large amounts of information, quick decisions and high expectations to perform successfully in everything we do. As a statistical agency, Statistics Sweden is responsible for producing some of the information that is used for decision-making in society and is therefore under constant internal and external pressure to perform well. The responsibility to produce high-quality statistics to all customers and users is not simple. What is the quality of the statistics produced? How do we assure and control the quality of the statistics? Do we use our resources efficiently? These are important questions, which need to be addressed.</p><p>One way of addressing these and other issues is to work with quality in a systematic fashion. Thus there is a need for a Quality Management System, i.e., a systematic way to handle quality issues of all kinds in all parts of the organization, and to continue the journey towards the vision of being a “world class statistical agency”.</p><p>This Masters thesis is a description and discussion of the efforts to find a suitable Quality Management System. The thesis starts with a discussion about the vague quality concept, continues with a description of numerous frameworks, methods and systems related to quality management as well as their pros and cons and ends with a recommendation for Statistics Sweden. The recommendation is to use the EFQM Excellence Model as a quality framework, Six Sigma as a tool-box for improvement projects and modern internal auditing methods for evaluation and follow-up. Finally, issues related to the implementation of the system are discussed.</p>

<p>Landstinget i Kronobergs län utförde 2006 en enkätundersökning bland elever i årskurserna 5, 8 och gymnasiets årskurs 2. Datamaterialet för gymnasieeleverna har studerats i detta arbete där den psykiska ohälsan och alkoholkonsumtion varit i fokus.</p><p>Det statistiska arbetet är uppdelat i tre delar: Metodbeskrivning, hantering av programmet SPSS samt en undersökning av gymnasieelevers psykiska ohälsa och alkoholkonsumtion. I metodbeskrivningen har metoderna dikotomisering, logistisk regression, Wald, faktorinteraktion och kategorisering beskrivits. För hantering av stora datamaterial samt för att kunna ta fram statistiska samband rörande psykisk ohälsa och alkoholkonsumtion har programmet SPSS använts och illustrerats i arbetet. De förklarande variablerna som varit mest inflytelserika mot den psykiska ohälsan var ’Tycker du att du är frisk?’, ’Har du någonsin använt läkemedel tillsammans med alkohol i berusningssyfte’ samt ’Trivs du med livet?’. När undersökningen för gymnasieelevers alkoholkonsumtion studerades var de gemensamma signifikanta faktorerna för både killar och tjejer ’Skolkar du?’, ’Känner du dig ofta irriterad eller på dåligt humör?’ och ’Har någon vuxen behandlat dig fysiskt illa?’ där samtliga förklarande faktorer bidrog till en ökad sannolikhet att konsumera mycket alkohol. Då undersökning av variabeln symtom, variabeln oro samt deras interaktion studerades för killar respektive för tjejer mot den psykiska ohälsan kunde man se att variabeln symtom för killar var inflytelserik samt interaktionen mellan oro och symtom. För tjejerna var däremot variabeln oro inflytelserik samt variabeln symtom men inte deras interaktion.</p>

In practice there is a long tradition of actuaries calculating reserve estimates according to deterministic methods without explicit reference to a stochastic model. For instance, the chain-ladder was originally a deterministic reserving method. Moreover, the actuaries often make ad hoc adjustments of the methods, for example, smoothing of the chain-ladder development factors, in order to fit the data set under analysis. However, stochastic models are needed in order to assess the variability of the claims reserve. The standard statistical approach would be to first specify a model, then find an estimate of the outstanding claims under that model, typically by maximum likelihood, and finally the model could be used to find the precision of the estimate. As a compromise between this approach and the actuary's way of working without reference to a model the object of the research area has often been to first construct a model and a method that produces the actuary's estimate and then use this model in order to assess the uncertainty of the estimate. A drawback of this approach is that the suggested models have been constructed to give a measure of the precision of the reserve estimate without the possibility of changing the estimate itself. The starting point of this thesis is the inconsistency between the deterministic approaches used in practice and the stochastic ones suggested in the literature. On one hand, the purpose of Paper I is to develop a bootstrap technique which easily enables the actuary to use other development factor methods than the pure chain-ladder relying on as few model assumptions as possible. This bootstrap technique is then extended and applied to the separation method in Paper II. On the other hand, the purpose of Paper III is to create a stochastic framework which imitates the ad hoc deterministic smoothing of chain-ladder development factors which is frequently used in practice.