Gerber-Shiu Risk Theory
Andreas E. Kyprianou
University of Bath

We will give a complete review of classical and modern insurance risk theory through the eyes of excursion theory for Lévy processes. To keep the technical requirements to a minimum, the course will deal largely with the case of the classical Cramér-Lundberg process, developing in detail the Poissonian structure of sojourns from the maximum and minimum, moving towards the end of the course into a more general Lévy set-up. The objective is to go far beyond the classical ruin problems, into the realms of dividend strategies which correspond to refracted, reflected and super- and sub-reflected Lévy processes as well as focusing on the importance of the modern theory of scale functions for spectrally negative Lévy processes in the analysis. Much of what will be presented will cover, at the appropriate level, the main developments that have occurred in the last 5-10 years in the research literature.

Lugar: Auditorio “José Ángel Canavati”, CIMAT, Guanajuato

Fechas: Lunes 20, miércoles 22 y jueves 23 de mayo, lunes 27, miércoles 29 y jueves 30 de mayo de 2013
Horario: Lunes y miércoles de 11:00 a 13:00 hrs., jueves de 12:30 a 14:30 hrs


Juan Carlos Pardo
Víctor Rivero

Curso sin costo, previo registro: