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学术报告二十一:On aggregate claims model with dependence

来源:数学与统计学院     作者:     时间:2017/9/12 11:00:35  0次

数学与统计院学术报告[2017] 021

(高水平大学建设系列报告091)

报告题目:On aggregate claims model with dependence

报告人:Xueyuan Wu  高级讲师  ( 澳大利亚墨尔本大学

报告时间:9月15日下午2:30pm-3:30pm

报告地点: 科技楼514

报告 邀请人: 李婧超                            

报告内容:In this talk, motivated by some real-life correlation among insurance claim amounts, we propose three aggregate claims models with dependence. Model one considers the dependence caused by a common index among indexed insurance benefits; model two takes into account the correlation arisen from common fixed costs; model three covers both types of dependence. Two random variables, Y1 denoting a random index and Y2 denoting a random cost, play a key role in the above three dependence models and detailed discussions are given regarding how the aggregate claims amounts interact with these sources of dependence. Theoretical results of the aggregate claims distributions under the three models are derived and algorithms for computational purposes are also provided. Some numerical results are presented for the compound Poisson case together with discussions and comparisons regarding the three types of dependence.

 

报告人简历:Dr. Xueyuan Wu (吴学渊),澳大利亚墨尔本大学经济与工商管理学院精算研究中心高级讲师。于2004年在香港大学统计与精算系获得博士学位。主要研究领域:离散时间风险模型: 破产及相关变量的递归运算;相依风险模型:汽车保险奖惩系统、 多元风险模型;矩阵分析方法(Matrix Analytic Methods)在风险理论中的应用;离散Phase-type分布;精算统计:水灾预测、空间统计建模。

在国际知名的Journal of Computational and Applied MathematicsASTIN BulletinInsurance: Mathematics & EconomicsScandinavian Actuarial JournalAnnals of Actuarial Science等精算领域学术期刊发表了学术论文十多篇。现为澳洲精算师协会准精算师。

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数学与统计学院

2017-09-01

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