Ph.D. School in Applied Probability with Applications to Finance and Insurance
We offer a Ph.D, course on advanced modeling using stochastic processes with special regard to insurance and credit risk. Special emphasis is on computational methods in applied probability. Using Markov processes as building stones we shall be able to formulate and solve stochastic models in a quite general setting. We consider the integral procedure of model formulation, estimation and prediction. The model formulation involves advanced topics from current research on matrix exponential methods. The estimation part involves maximum likelihood estimation of incomplete data as well as Markov chain Monte Carlo methodology. Finally we show how to combine the three tasks in a joint procedure or algorithm.
Learning objectives:
A student who has met the objectives of the course will be able to:
- Build increasingly complex stochastic models
- Validate goodness of fit for such models
- estimate functionals of interest
- estimate parameters of phase--type distributions
- perform risk management for credit risk
- calculate ruin probabilities in complex risk reserve processes
Responsible:
The course will be given by:
- Prof. Bo Friis Nielsen, bfn@imm.dtu.dk
- Prof. Mogens Bladt, bladt@imm.dtu.dk
