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Master’s Thesis Defense: Mark Benedikt Schultze

April 23 @ 1:30 pm - 3:00 pm

Free

Pricing of Dependent Risks


Mark Benedikt Schultze
University of Wisconsin-Milwaukee
MS Graduate Student 

“In some types of insurance businesses, such as cyber or homeowners insurance, the assumption that risks are independent is violated. Because of this, the commonly used expected value premium principle does not work. Therefore, we propose different premium principles for pricing dependent risks. We derive formulas for these principles when the risks are normally distributed, pareto distributed and each risk is an aggregate loss. Furthermore, we investigate the behavior of the different premium principles related to a change in the dependence of the risks. Additionally, we examine the impact that a parameter of one risk has on the premium for each proposed principle.”

Committee Members:
Profs. Wei Wei (Advisor); Vytaras Brazauskas, & Chao Zhu

Details

Date:
April 23
Time:
1:30 pm - 3:00 pm
Cost:
Free
Event Category:

Venue

EMS Building, Room E495
E495; 3200 N Cramer St.
Milwaukee, WI 53211 United States
Phone:
414-229-4836
Website:
www4.uwm.edu/letsci/math