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Seminar über Versicherungs- und Finanzmathematik: Large Deviations Methods in Finance and Insurance

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Organizers
Prof. Freddy Delbaen & Dr. Delia Coculescu
Place HG E1.1
Time Mondays 10:15-12:00
First meeting
Monday 1.10.2007
Language

The seminar will be held in English.

Description
Some methods of large deviations will be presented followed by financial and insurance applications: ruin probabilities in risk theory, rare event simulation in option pricing, estimation of large portfolio losses or the  performance of a portfolio.
Literature
  1. Frank DEN HOLLANDER: "Large Deviations", Fields Institute Monographs, American Mathematical Society, 2000.
  2. Huyen PHAM: "Some Applications and Methods of Large Deviations in Finance and Insurance", Springer Lecture Notes in Mathematics,  Volume 1919/2007, 191-244.
Key words large deviations, ruin problem, importance sampling, rare event simulation, credit risk, portfolio performance.
 

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