Friday, September 27, 2013

Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean

Stephane Loisel
(Laboratoire de Science Actuarielle et Financière, Université Lyon 1)

Abstract: We first give explicit formulas for the infinite time ruin probability for some particular correlated claim amounts or inter-arrival times. We then investigate asymptotics of ruin probabilities when claim distribution is worsening over time, due to phenomena like sectorial inflation or global warming. We end up with some results in the case where claim amounts have infinite mean.

Friday, September 27, 2013
Time: 11h00
Room: Sala IAPMEI, Edificio Quelhas, ISEG