Mathematics Colloquium — Special Lecture
University of Liverpool
Interplay of Dependent Insurance and Financial Risks
Consider a discrete-time insurance risk model in which the surplus process incorporates both insurance and financial risks. I will look into the stochastic structure of this surplus process and analyze the interplay of the two types of risks. A brief review of extreme value theory in the actuarial context will be included. This talk is based on my recent paper Chen (2011, Journal of Applied Probability).