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