数学与统计学院学术报告[2021] 012号

(高水平大学建设系列报512号)

报告题目: Multivariate distributions with time and cross dependence: Aggregation and capital allocation

报告人：　 胡祥　 副教授  （ 中南财经政法大学）

报告时间：2021年03月25日09：30 – 10：30am

报告地点： 腾讯会议 776 294 684

报告内容：Recent developments in actuarial literature have shown that integer-valued time series can serve as an effective tool in risk modeling, exhibiting different types of dependence when applied to the number of claims for an insurance portfolio.This paper investigates risk aggregation and capital allocation problems consisting of several lines of business. The class of multivariate INAR(1) processes is proposed to model different sources of dependence between the number of claims of the portfolio. The total capital required for the whole portfolio is evaluated under the TVaR risk measure, and the contribution of each line of business is derived under the TVaR-based allocation rule. We provide the risk aggregation and capital allocation formulas in the general case of continuous and strictly positive claim sizes, and then in the case of mixed Erlang claim sizes. The impact of both time dependence and cross dependence on the behavior of risk aggregation and capital allocation is numerically illustrated.

报告人简历：胡祥，中南财经政法大学金融学院副教授，中国准精算师。南开大学经济学博士，香港大学统计与精算学系访问学者。研究领域主要包括风险管理与非寿险精算。在Insurance: Mathematics & Economics，Scandinavian Actuarial Journal以及《统计研究》《保险研究》等期刊发表论文20余篇。先后主持国家自科基金青年项目、面上项目，并担任国家自科基金同行评议专家。

数学与统计学院

　　　　　 　　　　　　　　　　　　　　　　　 2021年03月24日