Seminar über Versicherungs- und Finanzmathematik: Large Deviations Methods in Finance and Insurance
Organizers
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Prof. Freddy Delbaen & Dr. Delia Coculescu
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Place
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HG E1.1
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Time
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Mondays 10:15-12:00
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First meeting
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Monday 1.10.2007
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Language
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The seminar will be held in English.
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Description
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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.
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Literature
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- Frank DEN HOLLANDER: "Large Deviations", Fields Institute Monographs, American Mathematical Society, 2000.
- Huyen PHAM: "Some Applications and Methods of Large Deviations in Finance and Insurance", Springer Lecture Notes in Mathematics, Volume 1919/2007, 191-244.
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Key words
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large deviations, ruin problem, importance sampling, rare event simulation, credit risk, portfolio performance.
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