Arts & Sciences Events

Location

Jones Hall, Room 301
200 Ukrop Way
Williamsburg, VA 23185Map this location

Determining the probability of exceedance of a deterministic barrier by a random walk with negative drift is a popular problem in several areas of applied probability. In the context of actuarial mathematics, this probability has a very intuitive meaning and is known as the ruin probability. In this talk, ruin problem will be introduced in the context of an insurance company facing extreme risks such as those associated with catastrophes. Claims will be modeled using stable distributions, a very important class of probability laws used commonly in extreme event modeling. Asymptotic estimates for the ruin probability based on a particular integral representation of stationary stable processes will be given, and connections between the asymptotic behavior of the ruin probability and the dependence structure of the underlying claim process will be explored.