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Some Applications and Methods of Large Deviations in Finance and Insurance

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Paris-Princeton Lectures on Mathematical Finance 2004

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1919))

In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer’s theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance sampling are used in rare event simulation for option pricing. We finally focus on large deviations methods in risk management for the estimation of large portfolio losses in credit risk and portfolio performance in market investment.

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Authors and Affiliations

  1. Université Paris 7 and Institut Universitaire de France, Paris, CX, France

    Huyên Pham

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  1. Huyên Pham
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Pham, H. (2007). Some Applications and Methods of Large Deviations in Finance and Insurance. In: Paris-Princeton Lectures on Mathematical Finance 2004. Lecture Notes in Mathematics, vol 1919. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-73327-0_5

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