The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Stefan Thonhauser (Institute of Statistics, Graz University of Technology)
PDMP Based Risk Models
Friday, November 18, 2022, 10:30 am, Building TC, Room TC.3.01

Abstract:
Ruin theory aims at describing and analysing insurance risks by means of stochastic models for the evolution of a surplus process. Classical models - such as the Cramér-Lundberg or renewal risk model - suffer from a static parameter choice and non-controllability. These simplifying features can be overcome by the use of more general models from the class of piecewise-deterministic Markov processes. For such processes many objects of interest such as ruin probabilities, penalty functions or expected dividend payments can hardly be explicitly computed and one needs to rely on numerical methods. We will show that the Markovian structure allows for the application of quasi-Monte Carlo integration, but that the derivation of error bounds requires some smoothing. As a complement we discuss PDMP-techniques for the identification of the asymptotic behaviour of ruin probabilities in particular risk models with stochastic intensities.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar