X. Sheldon Lin
University of Toronto

Some Analytical Methods for Insurance Risk Models           

In this talk, I will discuss some analytical methods Gordon E. Willmot of University of Waterloo and I have developed in the past few years for insurance risk models and the compound Poisson risk model in particular. One of the advantages for using these analytical methods is that they require little probabilistic argument and hence can easily be understood by non-probabilists. I will show that with these methods we can obtain not only many existing results but also new results for insurance risk models via the Gerber-Shiu expected discounted penalty function.