Abstract: 

Monte Carlo simulation can be viewed as a vehicle for performing computer experiments with randomness in problems that are too complex or too difficult to allow for theoretical calculations. We give here a survey with particular emphasis on applications to finance and insurance, concluding with a more detailed study of the conditional Monte Carlo method. Essentially this is a set of ideas of how to improve on Monte Carlo by involving features that can be calculated.

 

Speaker
Prof Søren Asmussen
Research Area
Statistics Seminar
Affiliation
Aarhus University
Date
Fri, 03/11/2017 - 4:05pm
Venue
RC-4082, The Red Centre, UNSW