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Sensitivity analysis of the finite-time ruin probability and of some other risk measures
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When
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17.00
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Where
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B617 (Leverhulme Library)
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Presentations
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Speaker
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Stephane Loisel
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From
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Lyon
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Abstract
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Ruin theory concerns definition and study of stochastic processes modelling the evolution of the surplus of an insurance company. After a short introduction to that field, we consider multivariate processes : in a multi-risk model, differentiation theorems enable us to determine the optimal way to split the global initial reserve of the insurance company between its lines of business (motor, liability, health insurance, ...) to minimize certain risk measures, linked with some hitting or sojourn times. We also present some current research work about a sensitivity analysis of the finite-time ruin probability.
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For further information
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Tom Hewlett (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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