Martingale and Ruin Probability


Dr. Hailiang Yang

Department of Statistics and Actuarial Science

The University of Hong Kong



How to estimate ruin probability is an important problem in insurance risk theory. In this talk, I shall show how to use martingale inequalities to obtain both exponential and nonexponential bounds for ruin probability. We then extend our model to include the interest effect and correlated risks. Some similar results are obtained.



July 26, 2001 (Thursday)


4:00 - 5:00pm


Room 517, Meng Wah Complex




All are welcome