Martingale and Ruin Probability
Dr. Hailiang Yang
Department of Statistics and Actuarial Science
The
Abstract
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.
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Date: |
July 26, 2001 (Thursday) |
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Time: |
4:00 - 5:00pm |
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Place: |
Room 517, Meng Wah
Complex |
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All are welcome |
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