Large Deviations
Published in Encyclopedia of Actuarial Science • Sep 24, 2004
NobleIDNI8P68W14R85S70
Authors:
Harri Nyrhinen
Abstract
Abstract Large deviations theory provides insight into the probabilities of rare events by developing quantifiable estimates for them. An example is the probability for a large overshoot of the total claim amount in a portfolio. Another example is the estimation of the ruin probability starting from...
Finding related papers...
Discussions
(0)No comments yet
Be the first to share your thoughts!