Ruin Theory and Correlated Random Walks

Project level: Masters, Honours

Ruin Theory is a branch of actuarial mathematics used by insurance companies for setting reserves.  The cleanest model is that of constant revenue subject to occasional losses (claims). An output of ruin theory in that case is the probability of defaulting.

In the basic model, inter-claim times and claim sizes are i.i.d. yet in practice this is often not the case. In this project the student will explore correlated cases in which there is hope to obtain explicit solutions.