### Modeling Insurance in the Presence of Dependent Extreme Risks

- Series
- Mathematical Finance/Financial Engineering Seminar
- Time
- Wednesday, January 25, 2012 - 15:05 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Qihe Tang – Department of Statistics and Actuarial Science, University of Iowa

**Please Note:** Hosts: Christian Houdre and Liang Peng.

The prevalence of rare events accompanied by disastrous
economic and social consequences, the so-called Black-Swan events, makes
today's world far different from just decades ago. In this talk, I shall
address the issue of modeling the wealth process of an insurer in a
stochastic economic environment with dependent insurance and financial
risks. The asymptotic behavior of the finite-time ruin probability will
be studied. As an application, I shall discuss a portfolio optimization
problem. This talk is based on recent joint works with Raluca Vernic and
Zhongyi Yuan.