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

Organisateur(s) Rivat, Joël ; Thonhauser, Stefan ; Tichy, Robert
Date(s) 02/11/2020 - 07/11/2020
URL associée https://www.chairejeanmorlet.com/2255.html
00:00:00 / 00:00:00
1 15

PDMPs and Integrals PDMPs in risk theory and QMC integration II

De Stefan Thonhauser

Apparaît également dans la collection : Research School

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.

Informations sur la vidéo

Données de citation

  • DOI 10.24350/CIRM.V.19680003
  • Citer cette vidéo Thonhauser, Stefan (02/11/2020). PDMPs and Integrals PDMPs in risk theory and QMC integration II. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19680003
  • URL https://dx.doi.org/10.24350/CIRM.V.19680003

Domaine(s)

Bibliographie

  • 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

Dernières questions liées sur MathOverflow

Pour poser une question, votre compte Carmin.tv doit être connecté à mathoverflow

Poser une question sur MathOverflow




Inscrivez-vous

  • Mettez des vidéos en favori
  • Ajoutez des vidéos à regarder plus tard &
    conservez votre historique de consultation
  • Commentez avec la communauté
    scientifique
  • Recevez des notifications de mise à jour
    de vos sujets favoris
Donner son avis