Prof. E. Hashorva (University of Lausanne, Switzerland)
Wednesday, November 15, 2017 - 10:00
Weierstraß-Institut
Mohrenstr. 39, 10117 Berlin, Erhard-Schmidt-Hörsaal, Erdgeschoss
Forschungsseminar Mathematische Statistik
This talk is concerned with Gaussian risk models which approximate reasonably the risk process of an insurance company. Such models incorporate various nancial elements related to inflation/deflationion and taxation. Of interest also from the probabilistic point of view, is the approximation of the ruin probability and the ruin time when the initial capital is large. The concept of Parisian ruin is quite new and appealing for mathematical models of insurance risks. However the calculation of Parisian ruin and the Parisian ruin time is a hard problem. Recent research has also focused on the investigation of multi-valued risk models analysing the ruin probability and the ruin time. Currently, due to the lack of appropriate tools, results are available only for the Brownian risk model. In this talk various approxi- mations of ruin probability and ruin times for both classical and Parisian case will be discussed including results for the multi-valued Brownian risk model. Joint work with K. Debicki, University of Wroclaw and L. Ji, University of Lausanne
submitted by chschnei (christine.schneider@wias-berlin.de, 030 20372574)