Proposed visit by Professor Sandeep Juneja (Tata Institute of Fundamental Research, India)

The aim of this proposal is to bring Professor Sandeep Juneja of the Tata Institute of Fundamental Research, an applied probabilist with particular expertise in rare event simulation and computational finance, to the UK for a period of two-three months. During this period Professor Juneja would give a short course on Portfolio Tail Risk Measurement at Heriot-Watt University under the umbrella of the Maxwell Institute, and would hold an intensive exchange of ideas with the proposed Investigators and their colleagues as an initial phase of a proposed collaboration. He would also visit Cambridge, Bristol, and other UK Institutions to give seminar talks and to hold further scientific discussions with colleagues.

The proposed research, together with Professor Juneja's associated lectures, will benefit government, industry, commerce and utilities seeking to estimate the probabilities of extreme events: for example, financial extremes leading to the failures of businesses, environmental extremes such as flooding, excessive temperatures and other risks, severe congestion in road, communication and other networks, and failure of supply to meet demand in energy networks. The proposed research will seek to improve mathematical and statistical methodology for understanding the probability theory of extremes, for efficiently calculating or estimating via simulation techniques the probabilities of extreme events, and for analysing data providing information about the occurrence of such events. The research will seek in particular to provide much more efficient computational techniques for such activities. The results of the research will be published in the mathematical and statistical literature, via the web, and disseminated at scientific meetings. The lecture course will be published on the web. Both the investigators and Professor Juneja are further actively engaged in working with governmental, commercial and industrial organisations in addressing problems such as those described above.