Financial/Actuarial Mathematics Date:  Thursday, April 12, 2012 Location:  1360 East Hall (3:00 PM to 4:00 PM) Title:  On the Ruin Problem for Levy Insurance Risk Processes: A Review and a New Family of Models Abstract:   Expressions for the expected discounted penalty function now exist for a wide range of models, in particular for a general class of Levy insurance risk processes [Biffis and Morales (2010) and Biffis and Kyprianou (2010)]. Indeed, the EDPF encapsulates relevant information about ruin related quantities that are of potential interest in risk management applications. Yet, in order to realize this potential, at least one main condition is needed, namely, these expressions must be computationally tractable enough as to allow for the evaluation of associated risk measures such as VaR or CVaR. Now, most of the Lévy models studied so far offer few interesting examples for which computation of the associated EDPF can be carried out to the last instances where evaluation of risk measures is possible. In this paper we address this issue with a new family of models. First, we introduce examples of risk insurance processes for which numerical evaluati Speaker:  Manuel Morales Institution:  University of Montreal Event Organizer:   Erhan Bayraktar    erhan@umich.edu   Edit this event (login required). Add new event (login required). For access requests and instructions, contact math-webmaster@umich.edu Back to previous page Back to UM Math seminars/events page.