Aggregate claims models with one-way and two-way dependence among individual claims

2017-10-23

学术报告

报告题目:Aggregate claims models with one-way and two-way dependence among individual claims

报告人:Xueyuan Wu (墨尔本大学)

报告时间:10231600-1700

报告地点:第四报告厅

报告摘要:Motivated by some real life correlations among insurance claims,we consider three aggregate claims models with dependence in this paper. Model one considers the dependence caused by a common in-

dex 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, form the center part in the above three dependence models and detailed discussions are given on how the aggregate claims interact with these sources of dependence. Theoretical results of these aggregate claims distributions 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 dependence cases.

邀请人:郭军义


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