[FAM-news] [Ricam-all] RICAM Group-Seminar - Financial Mathematics: Prof. Christian Hipp - Nov. 9, 10:30 (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Wed Oct 11 14:35:02 CEST 2006


---------- Forwarded message ----------
Date: Wed, 11 Oct 2006 13:07:06 +0200
From: Annette Weihs <annette.weihs at oeaw.ac.at>
Subject: [Ricam-all]  RICAM Group-Seminar - Financial Mathematics: Prof.
    Christian Hipp - Nov. 9, 10:30

GROUP:  Financial Mathematics

Prof. Christian Hipp
University of Karlsruhe

Thursday, November 9, 10:30, HF136

Title:  Ruin probabilities: the right risk measure for insurers
Abstract: Ruin probabilities are classical risk measures for insurance
which, however, are used scarcely in real world. We emphasize the importance
of ruin probabilities, show that they can be computed easily even for
complex problems, and demonstrate how they facili-tate control problems. In
the case of insurance risk management with tax, we compute ruin
probabilities as well as total present value of collected tax. With these
results we answer the question wether a tax authority should tax an insurer
who is close to ruin.

Annette Weihs

Johann Radon Institute for Computational
and Applied Mathematics (RICAM)
Austrian Academy of Sciences

Altenbergerstr. 69
A-4040 Linz
Tel.: +43 (0)732 2468-5211
Fax: +43 (0)732 2468-5212
e-mail: annette.weihs at oeaw.ac.at
http://www.ricam.oeaw.ac.at

  [attachment with close to equal content removed by admin]



More information about the FAM-news mailing list