Schedule
| Wed, August 27th | ||
|---|---|---|
| 08:30-09:00 | Registration | |
| 09:00-09:45 | Hans Gerber | The dividends-penalty identity and optimal dividend barrier |
| 09:45-10:30 | Sheldon Lin | An Insurance Risk Model with Stochastic Volatility |
| 10:30-11:00 | Coffee Break | |
| 11:00-11:30 | Qihe Tang | Asymptotics of Gerber-Shiu functions in the presence of tail equivalence |
| 11:30-12:00 | Jun Cai | A generalized Gerber-Shiu function with applications in piecewise-deterministic compound Poisson risk models |
| 12:00-12:30 | Georg Regensburger & Markus Rosenkranz |
A symbolic computation approach to the analysis of Gerber-Shiu functions |
| 12:30-14:00 | Lunch Break | |
| 14:00-14:30 | Anders Martin-Löf | Risk theory with a variable premium |
| 14:30-15:00 | Jeffrey Collamore | Random recurrence equations and ruin in a Markov-dependent stochastic economic environment |
| 15:00-15:30 | Xiaowen Zhou | A Levy risk model with tax |
| 15:30-16:00 | David Stanford | On matrix-analytic methods, fluid flows and risk processes |
| 16:00-16:30 | Coffee Break | |
| 16:30-17:00 | Andrei Badescu | Dependent risk models with bivariate phase-type distributions |
| 17:00-17:30 | Kostas Politis | A functional method for approximating the Gerber-Shiu function |
| 17:30-18:00 | Apostolos Papaioannou | The Gerber-Shiu expected discounted penalty function in a Markov-modulated renewal model |
| 18:30 | Dinner at "Kepler's" on campus | |
| Thu, August 28th | ||
| 09:00-09:45 | Hanspeter Schmidli | On the Gerber-Shiu function and change of measure |
| 09:45-10:15 | Esther Frostig | On the distribution of the dividends in Markov additive risk process |
| 10:15-10:45 | Ronnie Loeffen | Refracted Levy processes |
| 10:45-11:15 | Coffee Break | |
| 11:15-11:45 | David Landriault | On the joint distributions of the time to ruin, the surplus prior to ruin and the deficit at ruin in the classical risk model |
| 11:45-12:15 | Manuel Morales | On a new generalization of the Gerber-Shiu function |
| 12:15-12:45 | Enrico Biffis | Ruin theory and dynamic capital structure |
| 13:00 | Excursion | |
| Fri, August 29th | ||
| 09:00-09:45 | Jostein Paulsen | Ruin theory with interest income-a survey |
| 09:45-10:30 | Gordon Willmot | Gerber-Shiu analysis with a generalized penalty function |
| 10:30-11:00 | Coffee Break | |
| 11:00-11:30 | Florin Avram | On exit probems of some two-dimensional Levy processes from the quadrant |
| 11:30-12:00 | Kristina Sendova | On the generalized Cramer-Lundberg model |
| 12:00-12:30 | Cary Chi-Liang Tsai | On the ordering for surplus processes |
| 12:30-14:00 | Lunch Break | |
| 14:00-14:30 | Stephane Loisel | On a class of non-Gerber-Shiu, non-discounted penalty functions |
| 14:30-15:00 | Lothar Breuer | The Gerber-Shiu function for Markov-additive risk processes with phase-type jumps |
| 15:00-15:30 | Julien Trufin | Ruin problems in the presence of underwriting cycles |
| 15:30-16:00 | Yi Lu | On the discounted penalty function for risk processes with a threshold dividend strategy |
| 16:00-16:30 | Coffee Break | |
| 16:30-17:00 | Steve Drekic | Dividend moments in the dual risk model |
| 17:00-17:30 | Karl-Theodor Eisele | The Lundberg operator and its spectrum |
| 17:30-18:00 | Ilie-Radu Mitric | On the Gerber-Shiu discounted penalty function at absolute ruin for a multi-layer compound Poisson model incorporating interest |
| 18:00 | Closing | |
URL: www.ricam.oeaw.ac.at/workshops/gs08/schedule/index.php
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