An algebraic operator approach to risk theory

Event Detail

Event type: Colloquium
Date/Time: 10/26/2009-16:00   
Location: Kidd 364

Speaker info

Speaker: Corina Constantinescu, Johann Radon Institute for Computational and Applied Mathematics

Abstract:
We introduce an algebraic operator framework for solving high-order integro-differential equations relevant in risk theory. The method relies on transforming integro-differential equations into boundary value problems, which are solved by symbolic techniques. Namely, the factorization of the differential operator can be lifted to the level of boundary value problems, amounting to iteratively solving first-order boundary problems. We illustrate the method by analyzing functions of interest in risk theory.