Rare events

  • Højgaard, Bjarne (Project Participant)

Project Details


The aim is to find methods to approximate probabilities of rare events, which is events of small probability of the order 10^-5 or 10^-6. This could ruin probabilities in insurance, buffer overflow in telecommunications etc. Work has been done on asymptotic methods as well as simulation methods. Main concern is put on situations with heavy tailed jump distributions. Cooperation with Søren Asmussen, Aarhus University
Effective start/end date19/05/201031/12/2012