Dividends, capital injections and discrete observation effects in risk theory

26 May 2016
16:00
to
17:30
Hansjoerg Albrecher
Abstract

In the context of surplus models of insurance risk theory, 
some rather surprising and simple identities are presented. This 
includes an
identity relating level crossing probabilities of continuous-time models 
under (randomized) discrete and continuous observations, as well as
reflection identities relating dividend payments and capital injections. 
Applications as well as extensions to more general underlying processes are
discussed.