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Mathematics Colloquium — Special Lecture
Spring 2012

Yiqing Chen
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).

Tuesday, January 17, 2012, 345 Altgeld Hall, 2:00 p.m.