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Instituto Superior de Economia e Gestão (ISEG)


Seminar | The time of ruin in a Markov-modulated risk model

Em 08-10-2015 às 18:00 / 109 F2

The  "The time of ruin in a Markov-modulated risk model" seminar, organised by Cemapre, is scheduled for  October 8th, 18h00, in 109 Classroom (Francesinhas 2 Building).

David Dickson (University of Melbourne)

We consider the time of ruin for a Markov-modulated risk model, using two different approaches. One approach requires a constant premium income, while the other allows the premium to vary according to the environment state. Solutions for the density of the time of ruin involve integral expressions. We discuss the computational issues arising from these solutions, as well as considering the special case when there are only two environment states.
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