“Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes”
The project “Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes” directed by Dr. Boris Buchmann, Prof. Dr. Ross Maller (both from Australien National University) and Prof. Dr. Alexander Szimayer (Universität Hamburg) was funded by the Australien Research Council (ARC).
This project continues an on-going 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. Outcome aims to be of direct interest to these industries as well as having significant mathematical interest. The project provides postgraduate training, also fostering international and national collaboration and exchange.
Project lead: Dr. Boris Buchmann
Partner investigator: Prof. Dr. Alexander Szimayer
- Duration: 2016-2018
- Sponsor: Australian Research Council