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.
Oct. 6, 2009
Park Town Hotel, Room 139
Cocktails 5:30, Dinner 6:00, Presentation 7:00
Supported by the TSP of CORS Canada
For more information contact:
Kent Kostuk 244-3295 email@example.com
Winfried Grassmann, 966-4898 firstname.lastname@example.org