Large Deviation methods in Risk Theory
Speaker:
Anders Martin, Stockholm University
Date and Time:
Wednesday, October 14, 1998 - 2:00pm to 3:00pm
Location:
Fields Institute, Room 210
Abstract:
It will be shown that many well known estimates of e.g. ruin probabilities for compound Poisson processes can in a natural way be derived using L.D. techniques including second order refinements. The L.D framework provides an interesting description of how to allocate buffer capital to two systems in "thermodynamic equilibrium".