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/