Seminar series
Date
Thu, 26 May 2016
Time
16:00 -
17:30
Location
L4
Speaker
Hansjoerg Albrecher
Organisation
Universite de Lausanne
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.