CEMAPRE Seminar

Friday, October 26, 2007

Finite time survival probabilities under renewal risk models


Jorge Garcia
(ISEG)

Abstract: In this paper, by considering an ordinary renewal risk model, we show that explicit formulae for survival probabilities in a finite time horizon can be derived through a series expansion of the joint distribution of the time and severity of ruin. Furthermore, the model allows the capitalization of premiums and claims may depend on inflation. A special application to Pareto distributed claims is done by using an approximation that does not depend explicitly on the heavy tail.

Notice: Note new room
Friday, October 26, 2007
Time: 11h30
Room: Sala Unicre, Edificio Quelhas, ISEG
http://cemapre.iseg.ulisboa.pt/seminars/cemapre/