Some Applications and Methods of Large Deviations in Finance and Insurance
Some Applications and Methods of Large Deviations in Finance and Insurance
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DOI：
10.1007/978-3-540-73327-0_5
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发表时间：
2007-02
期刊：
影响因子：
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通讯作者：
H. Pham
中科院分区：
文献类型：
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作者：
H. Pham
在这些注释中，我们介绍了大偏差的一些方法及其在金融和保险中的应用。我们开始从与Cramer定理相关的经典破产问题出发，推广到一个投资于股票市场的保险模型。然后，我们描述了如何使用大偏差近似和重要性抽样的稀有事件模拟期权定价。最后，我们集中在风险管理中的大偏差方法估计的信用风险和市场投资组合的表现，大的投资组合损失。
In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer’s theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance sampling are used in rare event simulation for option pricing. We finally focus on large deviations methods in risk management for the estimation of large portfolio losses in credit risk and portfolio performance in market investment.