Poster

Patrick Poon Lecture Series in Actuarial Science on 'Monte Carlo Simulation & Conditional Monte Carlo' by Professor Søren Asmussen on AUG 4

Monte Carlo simulation can be viewed as a vehicle for performing computer experiments with randomness in problems that are too complex or too difficult to allow for theoretical calculations. We give here a survey with particular emphasis on applications to finance and insurance, concluding with a more detailed study of the conditional Monte Carlo method. Essentially this is a set of ideas of how to improve on Monte Carlo by involving...

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