Martingale and Ruin Probability

 

Dr. Hailiang Yang

Department of Statistics and Actuarial Science

The University of Hong Kong

 

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.

 

Date:

July 26, 2001 (Thursday)

Time:

4:00 - 5:00pm

Place:

Room 517, Meng Wah Complex

 

 

 

All are welcome