Tid: 24 november 2014 kl 15.15-16.00.

Föredragshållare: Hansjörg Albrecher, University of Lausanne

Titel: Level Crossing under Randomized Observations with Applications in Insurance

Abstract In this talk some recent developments on level crossing probabilities are presented when observations of a spectrally negative Levy process are reduced to discrete random times. It turns out that this extension leads to explicit and simple analogues of classical exit identities under various typical model assumptions. Emphasis will be given to interpretations and applications in insurance in the context of ruin theory.

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