Seminar by Zijia Wang

Monday, February 28, 2022 4:00 pm - 4:00 pm EST (GMT -05:00)

Please Note: This seminar will be held online.

Student seminar series

Zijia Wang
PhD student in Actuarial Science

Link to join seminar: Hosted on Microsoft Teams

Bridging the first and last passage times for Lévy insurance models

Research in ruin theory has largely focused on the first passage time analysis of a surplus process below level 0. Recently, there has been an accrued interest in the analysis of the last passage time below level 0. To bridge the first and the last passage times’ analyses, we introduce two random times, sr and lr, where r can be interpreted as a measure of a decision maker’s aversion to negative surplus. For spectrally negative Lévy processes, we derive the Laplace transform (and some distributional quantities) of these random times in terms of the well-known scale functions.