Actuarial Seminar of the University of Michigan - Ann Arbor, Michigan
Invited talk at the actuarial seminar series of the University of Mi chigan.
Actuarial Seminar of the Cass Business School - London, UK
Invited talk at the Actuarial Seminar Series of the Cass Business School of City University of London.
Lévy systems and the time value of ruin for Markov additive processes
In this paper we study the ruin problem for an insurance risk process driven by a spectrally-positive Markov additive process. Particular...
Constructing Axiomatic Data-based Risk Measures
Risk managers must build models from data in order to asses risk. A part of my research program involves studying risk measures that take...
Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.
We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where...
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains...
35th Conference on Stochastic Processes and their Applications - Oaxaca, Mexico
Invited talk in a special session on insurance mathematics.
15th Congress on Insurance Mathematics and Economics - Trieste, Italy
Contributed talk at this international congress.
5th Brazilian Conference on Statistical Modelling in Insurance and Finance - Maresias, Brazil
Co-organizer and invited speaker at this intern ational conference.
Applications of Markov-additive Processes in Finance and Insurance
The Markov-additive process family represents a natural theoretical framework to study the so-called regime-switching models. Models with...
