DFF Project Applied Probability

The project runs for the period August 1, 2014, to December 31, 2016, and is funded by the Ministry of Higher Education and Research by an amount of appr. 2.500.000 DKK. The project leader is Søren Asmussen.

Central research topics are (a) Bayesian modeling in insurance mathematic using ideas and concepts from economics, including game-theoretic aspects of the customer-company interaction and premium calculation in bonus-malus systems; (b) calculation of error probabilities in fault-tolerant computing, in particular in models involving checkpointing, repair and standby; (c) matrix-analytic computational probability, in particular phase-type distributions in Levy processes and stochastic volatility models; (d) sums of random variables, in particular the study of dependence and the lognormal distribution; (e) Monte Carlo simulation.