Carmin.tv

Mathematics
and Interactions

Please leave your feedback in order for us to improve your experience !
Francophone Computer Algebra Days / JNCF - Journées nationales de calcul formel
1 videos

Francophone Computer Algebra Days / JNCF - Journées nationales de calcul formel

Master Class Lycéennes Séphora Berrebi
4 videos

Master Class Lycéennes Séphora Berrebi

Séminaire Parisien de Statistique
5 videos

Séminaire Parisien de Statistique

One question, One researcher
2 videos

One question, One researcher

All the collections
CIMPA
CIRM
IHES
IHP
LMR
SMF
All the institutions
Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Collection Jean-Morlet Chair 2020 - Research School: Quasi-Monte Carlo Methods and Applications / Chaire Jean-Morlet 2020 - Ecole: Méthode de quasi-Monte-Carlo et applications

Organizer(s) Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert
Date(s) 02/11/2020 - 07/11/2020
linked URL https://www.chairejeanmorlet.com/2255.html
00:00:00 / 00:00:00
14 15

PDMPs in risk theory and QMC integration III

By Stefan Thonhauser

This talk will give an overview on the usage of piecewise deterministic Markov processes for risk theoretic modeling and the application of QMC integration in this framework. This class of processes includes several common risk models and their generalizations. In this field, many objects of interest such as ruin probabilities, penalty functions or expected dividend payments are typically studied by means of associated integro-differential equations. Unfortunately, only particular parameter constellations allow for closed form solutions such that in general one needs to rely on numerical methods. Instead of studying these associated integro-differential equations, we adapt the problem in a way that allows us to apply deterministic numerical integration algorithms such as QMC rules.

Information about the video

Citation data

  • DOI 10.24350/CIRM.V.19680603
  • Cite this video Thonhauser, Stefan (02/11/2020). PDMPs in risk theory and QMC integration III. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19680603
  • URL https://dx.doi.org/10.24350/CIRM.V.19680603

Domain(s)

Bibliography

  • KRITZER, Peter, LEOBACHER, Gunther, SZÖLGYENYI, Michaela, et al. Approximation methods for piecewise deterministic Markov processes and their costs. Scandinavian actuarial journal, 2019, vol. 2019, no 4, p. 308-335. - https://doi.org/10.1080/03461238.2018.1560357
  • PREISCHL, Michael, THONHAUSER, Stefan, et TICHY, Robert F. Integral equations, quasi-monte carlo methods and risk modeling. In : Contemporary Computational Mathematics-A Celebration of the 80th Birthday of Ian Sloan. Springer, Cham, 2018. p. 1051-1074. - http://dx.doi.org/10.1007/978-3-319-72456-0_47
  • PAUSINGER, Florian et SVANE, Anne Marie. A Koksma–Hlawka inequality for general discrepancy systems. Journal of Complexity, 2015, vol. 31, no 6, p. 773-797. - https://doi.org/10.1016/j.jco.2015.06.002

MSC codes

Document(s)

Last related questions on MathOverflow

You have to connect your Carmin.tv account with mathoverflow to add question

Ask a question on MathOverflow




Register

  • Bookmark videos
  • Add videos to see later &
    keep your browsing history
  • Comment with the scientific
    community
  • Get notification updates
    for your favorite subjects
Copyright Carmin.tv 2024
By browsing our website, you accept the use of cookies to improve your experience. Find out more about our privacy policy.
Approve
Give feedback