Wednesday, March 17, 2010

York day

The visitors seminar series this week had back-to-back talks by Tom Salisbury and Fouad Marri, both from York University.

Tom spoke about the hot topic of retirement income products with embedded guarantees. In the end he complained to himself about spending too much time on a relaxed introduction and not enough on the mathematical result the he wanted to show, but the talk went so smoothly (as his talks usually do) that my sense is that nobody else shared the complaint.

Fouad showed how to explicitly compute the moment generating function of compound Poisson processes when the jump sizes are correlated with the jump times according to a specific class of copula functions. As pointed out by Sebastian Jaimungal in the audience, such processes can be useful to model insurance claims arising from earthquakes, since typically their magnitude tends to increase the longer you wait.

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