Ciclo de Palestras Pos Estatistica IM-UFRJ - 26/08 as15h

["Alexandra M. Schmidt" <alex@im.ufrj.br>]

Caros Colegas,

Dando continuidade ao Ciclo de Palestras do Programa de Pos-Graduacao em 
Estatistica da UFRJ, nossa proxima palestra sera, excepcionalmente, nesta 6a 
feira, 26/08 as 15h.

Maiores detalhes seguem abaixo.

Grata pela atencao
Alexandra


Palestrante:  Manuel Morales (York University/University of Montreal)

Hora : 15h 
Local:  Sala C-116 Bloco C CT-UFRJ

T�tulo: Generalized Risk Models, Levy Processes and the Discounted Penalty 
Function. 

Resumo:

We will review, from a historical point of view, the use of Levy processes 
in ruin theory. We focus on the decomposition for the ruin probability and 
we argue how its convolution structure is inherited from the Levy family of  
processes. We will discuss the notion of discounte penalty function in the 
framework of Levy risk processes. The problem of finding expressions for 
this function in a risk model driven by a Levy process will be addressed. 
Examples for which these expressions are available will be discussed. 
Expressions for the joint density of the process prior and at ruin are 
presented for a few examples. These include the gamma process and the 
inverse Gaussian process. Finally, forms of the discounted penalty function 
in a more general setting will be discussed. 





-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*
Alexandra Mello Schmidt, PhD
Professora Adjunta
Instituto de Matem�tica - UFRJ
Departamento de M�todos Estat�sticos
Caixa Postal 68530 Rio de Janeiro - RJ 
CEP:21.945-970 Brasil
Tel: 0055 21 2562 7909
Fax: 0055 21 2562 7374

http://www.dme.ufrj.br/~alex
-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*-*
There is no time to lose. Cash your dreams before they slip away. 
Lose your dreams and you lose your mind.