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Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes

Frontiers of Risk Modelling

Dr Boris Buchmann, Prof Ross Maller and Prof Dr Alexander Szimayer

This project plans to continue an ongoing theoretical study into continuous-time stochastic processes, concentrating on developing tools for the further analysis and understanding of extremal and multivariate phenomena with applications to portfolio analysis, value-at risk calculations and complex financial instruments, with particular emphasis on practical applications of the methodologies in the insurance and finance industries. Expected outcomes would be of direct interest to these industries as well as having significant mathematical interest.

Updated:   8 March 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team