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Quasi-Maximum Likelihood Estimation of Partially Observed Affine and Polynomial Processes (Gauss Prize Young Academics 2023)


Quasi-Maximum Likelihood Estimation of Partially Observed Affine and Polynomial Processes (Gauss Prize Young Academics 2023)

uploaded May 16, 2024

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Speakers:Ivo Richert

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Ivo Richert from Kiel University has been awarded a Young Scientist Prize for his dissertation "Quasi-Maximum Likelihood Estimation of Partially Observed Affine and Polynomial Processes". This is dedicated to estimating the model parameters of a class of stochastic processes that are not fully observable. "The work fills an important gap in the financial and actuarial literature," says Prof. Ralf Korn, Chairman of the DGVFM. "Consistent estimation of model parameters, as introduced and addressed by this work, has great practical relevance for continuous-time models in insurance and financial mathematics and thus for the field.

Tags:insurancestochasticspracticegauss prizemodel parameterscountinuous-time model

Categories:ASTIN / NON-LIFE,LIFE