Southwest Jiaotong University School of Mathematics


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来源:   作者:统计系     日期:2018-09-07 18:02:33   点击数:  


报告人:白龙博士,本科毕业于郑州大学,硕士毕业于南开大学,并在硕士期间受欧盟FP7资助访问瑞士洛桑大学精算系,后在洛桑大学获得博士学位。他在Scandinavian Actuarial Journal、Journal of Mathematical Analysis and Applications、Statistics & Probability Letters等期刊发表了多篇学术论文,还是保险精算顶级杂志Insurance: Mathematics and Economics的评委。



报告题目:The Applications of Gaussian Extreme Value Theory in Actuarial Science and Finance

摘要:Based on Gaussian extreme value theory, we investigate the approximation of the Parisian ruin probability of a Brownian motion risk model with con- stant interest rate where the Parisian ruin is a generalization of the classical ruin. Both nite time and innite time scenarios are studied. Further, ex- tending the ideas to the scenario of two dimensional Gaussian elds with trend, we consider the drawdown and drawup of the fractional Brownian motion with trend which corresponds to the logarithm of geometric frac- tional Brownian motion representing the stock price in nancial market. We obtain the asymptotics of tail probabilities of the maximum drawdown and the maximum drawup as the threshold goes to innity, respectively.