Seminar in Applied Mathematics and Statistics, University of Copenhagen

Events

  • 31 October 2012
  • University of Copenhagen, Denmark
  • Organiser: University of Copenhagen, Denmark
  • Contact: Helle Sørensen
  • E-mail: helle@math.ku.dk
  • Phone: (+45)35320788
  • Event Details

The seminar will be held in aud 10 (HCØ, Universitetsparken 5, 2100 København Ø).

Speaker: Ragnar Norberg, Laboratoire de Sciences Actuarielle et Financière (SAF), Universite Lyon 1, France

Title: Risk processes with dependencies and premium adjusted to solvency target - with an application to earthquake insurance

Abstract: This talk considers risk processes with various forms of dependence between waiting times and claim amounts. The standing assumption is that the increments of the claims process possesses exponential moments so that variations of the Lundberg upper bound for the ruin probability are in reach.

The traditional point of view in ruin theory is reversed: rather than studying the probability of ruin as a function of the initial reserve under fixed premium, the problem is to adjust the premium so as to obtain a give ruin probability (solvency requirement) for a given initial reserve (the financial capacity of the insurer). This programme is carried through in various models for the claims process, ranging from Cox processes with i.i.d. claim amounts to conditional Sparre-Andersen models. Special attention is given to a model for earthquake insurance risk, where dependence on the past is essential.

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