# SCHEDULE

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8:30-9:00: Accueil et/and Welcoming Remarks

9:00-10:30: Exposé/Talk #1 Bin Li (University of Waterloo)

10:30-10:45: Pause/Break

10:45-12:15: Exposé/Talk #2 Jeff T. Y. Wong (University of Waterloo)

12:15-13:30: Lunch

13:30-15:00: Exposé/Talk #3 Shu Li (University of Illinois at Urbana-Champaign)

15:00-15:15: Pause/Break

15:15-16:45: Exposé/Talk #4 Étienne Marceau (Université Laval)

16:45-17:00: Conclusion/Concluding Remarks

18:30: Dinner

Speaker: Bin Li (University of Waterloo)

Title/titre: The applications of Poissonian observations for some exotic ruin problems

Abstract/résumé: Some recent exotic ruin problems involving occupation times and Parisian times of underlying processes. In the existing literature, researchers mainly adopt a spatial approximation approach for such problems when the underlying processes have unbounded variation paths. In this talk, we will discuss an alternative approach utilizing Poissonian observations, hence called a temporal approach, to study these exotic ruin problems. This approach leads to unified proofs for underlying processes with bounded or unbounded variation paths, and the principle to construct the approximation scheme is also very intuitive.

Speaker: Jeff T. Y. Wong

Title/titre: Poissonian Potential Measures for Lévy Risk Model

Abstract/résumé: Following the idea of temporal approach discussed in the previous talk, there is a clear motivation to extend the concept of classical potential measures to that under the context of Poissonian observations. In this talk, concise definitions to the Poissonian potential measures will be introduced, and we will demonstrate how these measures could be derived. Via the definition, we observe an intimate relationship between Poissonian potential measures and Poissonian exit measures, which further consolidates and strengthens the motivation of this work. If time allows, a ruin problem under Poisson observations will be studied to demonstrate how the Poissonian potential measures could come handy.

Speaker: Shu Li (University of Illinois at Urbana-Champaign)

Title/titre: Expected Utility of the Drawdown-Based Regime-Switching Risk Model with State-Dependent Termination

Abstract/résumé: In this talk, we will introduce the drawdown-based regime-switching (DBRS) dynamics to model an entity’s surplus process as well as the state-dependent termination time to the model, and provide rationale for these introductions in insurance contexts. By examining some related potential measures, we first show an explicit expression for the expected terminal utility of the entity in the DBRS model with Brownian motion dynamics. As for the risk management implication, our results show that, even considering the impact of the termination risk, the DBRS strategy can still outperform its counterparts in either single regime strategy under certain condition. This study shows that the DBRS model is not myopic, as it not only helps to recover from significant losses, but also may improve the insurer’s overall welfare. The analysis could also be generalized to time-homogeneous Markov framework, where the spectrally negative Levy model is considered as a special example.

Speaker: Étienne Marceau (Université Laval)

Title/titre: Two problems in ruin theory : risk models with exchangeability and ruin theory with CLT

Abstract/résumé: In the first part of the talk, we examine the properties and consider the computation of ruin-related quantities in the context of risk models with exchangeable losses or exchangeable inter-claim times. For the second part, we consider how to adapt the concepts of ruin theory in the context of pricing of insurance contract for the construction of 5-12 story Cross-Laminated-Timber (CLT) buildings.