Stochastic analysis and the development and application of financial risk processes

    Project: Research

    Project Details

    Description

    This project will continue a deep and intensive theoretical study into continuous time stochastic processes, concentrating on developing tools for the further analysis and understanding of insurance risk processes, 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. Outcomes will be of direct interest to these industries as well as having significant mathematical interest. A coordinated effort involving Australian and top international experts will ensure an extremely high level research endeavour with a global reach and international networking.
    StatusFinished
    Effective start/end date15/02/1031/12/16

    Funding

    • Australian Research Council (ARC): A$830,000.00

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