Event Date Details:
Refreshments served at 3:15 p.m
- South Hall 5607F
Jose Garrido — Concordia University
Title: Bridging risk measures and classical ruin theory
Abstract: Recent research has established some possible bridges between ruin theory for the Cramer-Lundberg risk model with insurance risk management.
Insurance risk models typically decompose into claim frequency and claim severity components, but also include other elements such as the premium loading. These proposed bridges are characterized by only some elements of the insurance risk process, typically the claim severity.
Here we propose new risk measures based on solvency criteria that include all the insurance risk model components. An application to the optimal capital allocation problem serves as an illustrative use of these new risk measures.