Modeling Insurance in the Presence of Dependent Extreme Risks

Series
Mathematical Finance/Financial Engineering Seminar
Time
Wednesday, January 25, 2012 - 3:05pm for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Qihe Tang – Department of Statistics and Actuarial Science, University of Iowa
Organizer
Liang Peng

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.