Introducing Non-ruin Quantities in Collective Risk Theory

April 4, 2014

My current research program in Ruin Theory includes exploring non-ruin quantities as proxies for risk. Quantities like drawdowns can be used to design new risk measures in the context of collective risk theory. These are mainly possible thanks to recent advances in fluctuation theory for Lévy processes. 

This component of my research program has produced several publications:

 

 

 

 

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Department of Mathematics and Statistics

University of Montreal

© 2016 by Manuel Morales.

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