CAM Colloquium: Stephane Loisel (Lyon) - Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean

Friday, February 28, 2014 at 3:30pm Frank H. T. Rhodes Hall, 655 CAM Colloquium: Stephane Loisel (Lyon) - Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean We first give explicit formulas for the infinite time ruin probability for some particular correlated claim amounts or inter-arrival times. We then investigate asymptotics of ruin probabilities when claim distribution is worsening over time, due to phenomena like sectorial inflation or global warming. We end up with some results in the case where claim amounts have infinite mean. If time permits, we’ll make the link between some ruin problem and some longevity online changepoint detection problem.