Seminarium i matematisk statistik
fredagen 18 december kl. 15.15 i MH227

Dubbelseminarium vid

Florin Avram, Heriot-Watt University, Edinburg
Miguel Usabel, Universidad Carlos III de Madrid

15.15-15.45 pratar FA om

Pricing barrier options under one sided exponential Levy models
and Carr's approximation for American options

We implement Carr's idea of approximating fixed expiration American 
options by options with random Erlang expiration, which has the 
advantage of leading to constant exercise barriers. The implementation
is under the one sided exponential Levy model, which leads to a treatment
via Laplace transforms (joint with T. Chan and M. Usabel).

15.45-16.15 pratar MU om

Values of excess-of-loss contracts and optimal
reserving under two forces of interest

Abstract
Introducing a multivariate generalization of the PDE
for the ruin probability with interest used by Sundt
& Teugel (1995), the Laplace transform of the ruin
probability is easily obtained.

The result is further applied to obtain valuations of
excess-of-loss reinsurance contracts and optimal
reserving, assuming that the discount of the deficits
is made at a rate of interest different from
the one used in the general reserves stochastic process
of an insurance firm (joint with F. Avram).


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