On level crossing identities with applications in insurance and finance

On level crossing identities with applications in insurance and finance

Fri, 05/11/2010
14:15 		Hansjoerg Albrecher (Universite de Lausanne) Nomura Seminar Add to calendar DH 1st floor SR
On level crossing identities with applications in insurance and finance
In this talk a number of identities will be discussed that relate to the event of level crossing of certain types of stochastic processes. Some of these identities are surprisingly simple and have interpretations in surplus modelling of insurance portfolios, the design of taxation schemes, optimal dividend strategies and the pricing of barrier options.