Seminarium:
Teoria prawdopodobieństwa i modelowanie stochastyczne
Osoba referująca:
Joanna Tumilewicz (Uniwersytet Wrocławski)
Data:
czwartek, 23. Luty 2017 - 12:15
Sala:
602
Opis:
We consider some drawdown insurance contracts with constant permium rate, general reward and penalty functions.
The drawdown proces we define as difference between historical maximum and current asset value.
We focus on two problem: calculating the fair premium for basic contracts and finding the optimal stopping rule for polices with additional cancellable feature.
We use the fluctuation theory of Lévy processes and theory of optimal stopping.