Announcement: Talk by Hansjörg Albrecher, Department of Mathematics, Graz
University of Technology
Title of the talk: On some generalizations of the classical ruin model in
risk theory
Date: We, 24.10.2001
Time: 17:00
Location: Vienna University of Technology, Freihaus, Turm A (green),
6th floor, Room 107
(see map at:
http://www.fam.tuwien.ac.at/schedule/)
Abstract:
The classical model in collective risk theory for the development of the
free reserve of an insurance portfolio is characterized by a Poisson claim
number process, independent and identically distributed claims and a
constant premium density. Several generalizations of this model are
considered. In a ruin model allowing for a constant force of inflation and
interest on the free reserve, we investigate when it is suitable to
represent the finite-time survival probability as a gamma series and
derive some exact analytical solutions for exponentially distributed claim
sizes. In a model with dividend payments according to a non-linear
dividend barrier strategy, integro-differential equations for the survival
probability and the expected discounted dividend payments are derived and,
using integral operators, efficient number-theoretic solution methods are
developed. Moreover we investigate the behavior of the Lundberg exponent
when dependence structures among consecutive claims are considered.
Further information on other talks at the Institute of Financial and
Actuarial Mathematics can be found at
http://www.fam.tuwien.ac.at/schedule/
--
|christopher summer ||tu vienna, financial and actuarial mathematics
|tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer
|fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at