Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean by Dr. Stéphane Loisel

Event Date: 

Monday, February 24, 2014 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Dr. Stéphane Loisel, (Lyon 1, visiting Cornell)

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

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. If time permits, we’ll make the link between some ruin problem and some longevity online changepoint detection problem.