[Turkmath:3806] Seminer duyurusu

[Mustafa C. Pinar]

Değerli meslektaşlar,

Prof. Yuri Kabanov haftaya Bilkent'te!

********************************************************************

Dear Colleagues and Students,

You are invited to a series of seminars on Financial Mathematics in Spring
2019.

The third seminar is on 30 April 2019, Tuesday. Here is the detailed
information.

Title: Ruin problems with risky investments

Speaker: Yuri Kabanov, University of Franche-Comté, France, and Lomonosov
Moscow
State University, Russia


Date : 30 April 2019, Tuesday
Time: 13:40
Place: EA-409


Abstract:

We are interested in the asymptotic of the ruin probability for a process
describing the evolution of the capital reserve of an insurance company
investing its capital reserve in a risky asset with the price given by a
geometric Lévy process, e.g. a geometric Brownian motion. Mathematically,
the dynamics of reserve can be described by a generalized
Ornstein–Uhlenbeck process. To the moment there are two methods of
study: based on integro-differential equations for ruin probabilities and
the implicit renewal theory. As an example for the company selling
annuities, the business process has upward jumps. For the investments, we
suppose that the cumulant-generating function H(q) = ln E e^-qV_1 of the
increment of log price process V admits a root beta > 0 at which H is
continuous while the business activity process is not a subordinator. We
show that the ruin probability has the exact asymptotic Cu^−beta as
u->infty. We also discuss conditions under which the
ruin happens with probability one.

Bio: Yuri Kabanov is a Professor of Mathematics at the University of
Franche-Comté in France as well as at Lomonosov Moscow State University in
Russia. He held positions at the Central Economics and Mathematical
Institute of the Russian Academy of Sciences, Higher School of Economics,
International Laboratory of Quantitative Finance as well as at Bilkent
University during 1993-1994. He holds a PhD in Mathematics from Steklov
Mathematical Institute of the USSR Academy of Sciences.
Yuri Kabanov’s research interests cover a wide range of subjects including
point processes, stochastic integration, stochastic control, arbitrage
theory, markets with transaction costs and systemic risk. He has had
editorial positions at journals including Finance and Stochastics, Annals
of Applied Probability, Probability Theory and its Applications,
Informatics and Applications.



-- 
Mustafa Celebi Pinar
Professor and associate dean of engineering
Industrial Engineering
Bilkent University