Seminar: Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process
You are cordially invited to attend Centre for Financial Risk seminar, Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process presented by Prof Kabanov from the University of Franche-Comté, Besançon, France. Please forward this invitation to your colleagues who may be interested to attend.
Abstract: We consider a model describing the evolution of capital of a venture company selling innovations and investing its reserve into a risky asset with the price given by a geometric Lévy process. We find the exact asymptotic of the ruin probabilities. Under some natural conditions it decays as a power function. The rate of decay is a positive root of equation determined by characteristics of the price process. When the price follows a gBm the results are reduced to those of our previous works where we used the method of ODEs assuming exponentially distributed jumps. Our proofs are based on the theory of distributional equations, in particular, on a recent result by Guivarc'h and Le Page.
|When:||Monday, 13 November, 2017|
|Schedule:||Morning tea provided between 10.30am-11am|
Seminar talk commence at 11am-12pm
|Where:||Macquarie University, Level 5, Seminar Room 523|
|RSVP:||Monday, 6th November 2017|
About the Speaker
Prof Kabanov is a principal organizer of the Bachelier colloquiums in
mathematical finance which is a major annual European conference in this field. He is a
member of Advisory Board of “Finance and Stochastics” (ABDC rank A), member of
Editorial Board of “Probability Theory and Its Applications” and other journals. Prof
Kabanov is a member of the Academy of Europe, winner of the prestigious “mega-grant” of
Russian Government 2013-2015 to develop quantitative finance discipline. His citation
records are Google Scholar: 4528 citations with h-index 35 (since 2012 h-index 21);
Mathscinet: cited 842 times by 648 authors; RePEc: rank 9 of authors in Russia. Prof
Kabanov has been one of the main researchers in the world driving cutting edge
development in financial mathematics.