On the range of a Lévy risk process with fair valuation of insurance contracts


2:00 PM - 3:00 PM



  • 时间:14:00 PM-15:00 PM (Beijing Time)
  • 日期: 2024年7月1日,星期一
  • 地点: MB441
  • 主讲人:Mengni Yang (University of Southampton)
  • 主持人:Dr. Ran Xu


In this talk, we will present the range process of Lévy risk processes through the characterization of some fluctuation results pertaining to inverse range time. In particular, we derive explicit expressions for Laplace transforms associated with occupation times and many related quantities. The range process under the Poissonian observation scheme will also be introduced. We further study extremum levels up to the inverse range. Explicit results under the Brownian risk process and the Cramér-Lundberg risk model will be presented. As an application, we present an extensive numerical analysis on fair valuation of insurance contracts.


Mengni Yang, is a PhD student in Actuarial science at the School of Mathematics Sciences of the university of Southampton. Her research interests mainly lie in the general area of risk theory and quantitative analysis of insurance risk processes with applications to risk management.