Universiteit Utrecht

Department of Mathematics


Ruin theory in the presence of dependence



Hansjoerg Albrecher, (KU Leuven, Belgium), 23 June 2004

Several extensions of the classical Cramer-Lundberg model to describe the surplus process of an insurance portfolio are considered, which allow for dependence among claim sizes and claim inter-occurrence times. Mainly focusing on the case of light-tailed claim size distributions, recent results on the sensitivity of various characteristics of these generalized risk processes on the degree of dependence are presented.


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Budhi Arta Surya (surya@math.uu.nl)