Wednesday, April 25, 2018 - 16:00 in V3-201
Some applications of stochastic control for ruin problems in insurance mathematics
A talk in the Bielefeld Stochastic Afternoon series by
Peter Grandits from TU Wien
| Abstract: |
The calculation and estimation of ruin probabilities is a classical theme in insurance mathematics, starting probably with the celebrated Lundberg inequality.
We will generalize the classical model in two directions. On the one hand, we shall consider companies, which invest in the stock market, on the other hand two companies are considered, which are allowedto collaborate.
We want to find estimates for the ruin probabilities, respectively some information about the optimal strategies.
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