Event Detail

Event Type: 
Probability Seminar
Thursday, October 26, 2006 - 07:00
Covell 221

Speaker Info


In a renewal risk model the inter-claim times form a sequence of independent, identically distributed random variables. If the inter-claim times are distributed as a sum of n exponentials then a comparison between the ruin probabilities may be established for different n's. If, additionally, the insurance company invests in an asset with a price modeled by a geometric Brownian motion, a similar comparison between the ruin probabilities is presented. These comparisons are derived using sample path-wise domination and coupling arguments.