Tid: 13 september 2000 kl 1515-
Plats : Rum 306, Cramér-rummet, hus 6 i Kräftriket, Roslagsvägen 101. Institutionen för matematik, SU.
Vid seminariet onsdagen den 13 september 2000 kl. 15.15 diskuteras Johan Irbäcks avhandling för fil.-lic.-examen:
Asymptotic theory for a risk process with a high dividend barrier. (Licentiat-seminarium)
Inbjuden diskutant är professor Jan Grandell, Matematisk statistik, KTH.
Abstract:
The only way to avoid ruin in the classical model of the collective risk theory is that the surplus increases to infinity. We consider a modified model with a dividend barrier which prevents this behavior. It is shown that there is a simple approximation formula for the time of ruin when the level of the dividend barrier is high. A numerical example is presented in the case when the claims are exponentially distributed. The relation to queuing theory is used to derive the proportion of time the surplus is below some given level.
Report: Asymptotic theory for a risk process with a high dividend barrier. (Postscript).