On Some Insolvency Risk Measures in Regime-Switching Models

On Some Insolvency Risk Measures in Regime-Switching Models

Fall 2022 Actuarial Science and Financial Mathematics Seminar

Date and Time: Friday, September 30, 2022, 2:00 PM (CST)

Speaker: Marcin Rudź (Lodz University of Technology)

Abstract: Insolvency risk measures play important role in the theory and practice of risk management. During the talk, the methodology of calculating and bounding multidimensional insolvency risk measures in regime-switching models will be given. It is based on a risk-operator approach and it enables to treat in a unified way several discrete and continuous time risk models as well as a variety of important vector-valued insolvency risk measures. A numerical procedure to compute vectors of their exact values will be given as well as some attainable upper and/or lower bounds for them. As a special case, some properties of multidimensional ruin probabilities will be presented, including their applications to bound more advanced insolvency risk measures.

Speaker’s Biography: Marcin Rudź is an assistant professor among research and teaching staff at the Institute of Mathematics of the Lodz University of Technology (Faculty of Technical Physics, Information Technology and Applied Mathematics). He has obtained two Master’s degree at this faculty and a PhD degree in Mathematics at the Institute of Mathematics of Polish Academy of Sciences in Warsaw, Poland (the title of the Ph D thesis: Selected estimates of ruin probabilities, in Polish). Dr Rudź is dealing with some applications of ruin theory in modelling and investigating the insurer’s insolvency risk. He is the co-author and the author of 10 research articles in this field. He has presented the results 12 times at international and national scientific conferences and seminars. The results has been awarded several times, including the Polish National Insurance (the PZU Group) Prize for the best Master thesis in the field of actuarial sciences.