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Computational Applied Math - Computational Biology - Operations Research - Quantitative Finance - Statistics

Wednesday, December 2, 2009, 10:30 - 12:00, Math Tower 1-122

Valmor de Almeida, Oak Ridge National Laboratory

Abstract: TBA

Computational Biology

No scheduled seminars

Operations Research

Monday, November 23, 1:00-2:00, Math Tower 1-122

Mark Kelbert
Department of Mathematics, Swansea University, UK

Abstract. The `bird eye's' view of actuarial ruin problem is
captured by the so-called Cramer-Lundberg model which represents
the current capital as a difference of incoming payments and
the outgoing claims. The simplest model for the claim flow is
the compound Poisson process. We are interested in an asymptotic
expansion of the ruin probability on a big time interval when
the initial capital tends to infinity and the ratio of the
capital and the time tends to a constant.
The results of standard saddle-point approximation fails on the
Stokes lines. However, some refinements of this method provides
uniform asymptotic expansions.

This seminar is partially supported by the Grad School.

Quantitative Finance

Statistics

No scheduled seminars