Liu Bie Ju
Centre for Mathematical Sciences
City University of Hong Kong
Mathematical Analysis and its Applications
Colloquium
Organized by Prof. Philippe G. Ciarlet and Prof. Roderick Wong
Integro-Differential and Differential
Equations in the Study of
Asymptotics of Ruin Probabilities with Investments
by
Dr. Jun Cai
Department of Statistics and Actuarial Science,
University of Waterloo, Canada
Date: November 17, 2004
(Wednesday)
Time: 4:30 pm to 5:30 pm
Venue: Room B6605 (Faculty Conference Room)
Blue Zone, Level 6
Academic Building
City University of Hong Kong
Abstract: When a classical risk process is compounded by another return process, ruin probabilities with such an investment often satisfy integro-differential equations. In some cases, the integro-differential equations can be reduced to differential equations. For some models of risk and return processes, the asymptotics of the ruin probabilities can be derived from these integro-differential and differential equations. In this talk, we review some known results, present one new result, and point out several unsolved questions about the asymptotics of the ruin probabilities.
(Tea, coffee and cookies will be provided at the Faculty Common Room in B6501 before the colloquium from 4:00 to 4:30 pm. Please come and join us!)
** All interested are welcome **
For enquiry: 2788-9816
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