Ruin Analysis of a Threshold Strategy in a Discrete-Time Sparre Andersen Model

Steve Drekic
Professor, Dept. of Statistics and Actuarial Science, University of Waterloo

Abstract

Matrix analytic methods, which were originally developed in queueing contexts, can also be used to solve important problems in insurance. In particular, we show in this talk how these methods can be used to analyze the Sparre Anderson insurance risk model, a model which allows one to calculate fundamental ruin-related probability distributions of interest. Ruin theory provides a systematic approach to the quantification of the solvency associated with a particular block of business. It explores the relationship between the initial capital required to support this block and the insolvency probability, or more generally, the probability that the associated surplus reaches a specified critical level. This is based on joint work with Ana Maria Mera.

Biographical Notes

Steve Drekic is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. He joined the department in 2000 after receiving his Ph.D. in Statistics from the University of Western Ontario in 1999. Professor Drekic's research primarily involves the use of stochastic techniques with advanced computational methods to analyze mathematical problems arising in various applications. His work has garnered particular attention in the fields of applied probability, insurance risk/ruin theory, and queueing theory.

Oct. 6, 2009

Park Town Hotel, Room 139

Cocktails 5:30, Dinner 6:00, Presentation 7:00

Tickets $20

Supported by the TSP of CORS Canada

For more information contact:

Kent Kostuk 244-3295 k.kostuk@fcl.ca

Winfried Grassmann, 966-4898 grassman@cs.usask.ca