VVZ API is not affiliated with ETH Zurich. Data might be outdated or incorrect. Please view the official ETHZ Vorlesungsverzeichnis for binding information.

401-3910-57L 6 Credits BSC , MSC D-MATH

Seminar on Financial and Insurance Mathematics: Some Applications of Large Deviations Methods

Seminar über Finanz- und Versicherungsmathematik: Some Applications of Large Deviations Methods

Lecturers & Examiners: Prof. em. Dr. Freddy Delbaen
VVZ CR n/a

Last Updated: 2026-02-05 15:13:59

Abstract

Some methods of large deviations will be presented followed by financial and insurance applications: ruin probabilities in risk theory, rare event simulation in option pricing, estimation of large portfolio losses or the performance of a portfolio.

General Information

Language
English
Levels
BSC , MSC
Frequency
Yearly recurring

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
seminar Seminar über Finanz- und Versicherungsmathematik
mit Delia Coculescu
  • Mon 10:15-12:00 (HG E 1.1)
2 h weekly

Offered In