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.