Seminar series
Date
Fri, 05 Nov 2010
14:15
14:15
Location
DH 1st floor SR
Speaker
Hansjoerg Albrecher
Organisation
Universite de Lausanne
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.