應(yīng)yl7703永利官網(wǎng)李周平副教授邀請，香港大學(xué)統(tǒng)計及精算學(xué)系張藝贏博士將于2018年6月2日至6日訪問我校并作學(xué)術(shù)報告。
報告題目：Enhanced Semi-Linear Credibility Formula
時 間：6月4日（星期一）10:00
地 點：齊云樓911報告廳
摘 要：As one of the earliest modern important application of Bayesian statistics, credibility theory was developed originally to calibrate the risk premium by optimally combining the individual risk experience with that of the whole population. Bühlmann and Gisler (2006) proposed a semi-linear credibility formula with truncation provided that the second moments exist. The optimal truncation point is determined by minimizing the square loss function. However, the explicit formula of the optimal truncation point was not given in their work, and the underlying philosophy behind this method is not clearly explained. In this talk, we close this gap by presenting a tail index to characterize the whole population in the group, and underpinning the explicit formula for the optimal truncation point asymptotically under quadratic loss criterion. Numerical examples are presented to illustrate our model-free truncation methods. Our method not only performs very well for small index, but also competitively compared with the simple Bühlmann model for large index. This is a joint work with Ka Chun Cheung and Philip Yam.
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報告人簡介
張藝贏現(xiàn)為香港大學(xué)統(tǒng)計與精算學(xué)系在讀博士，于yl7703永利官網(wǎng)分別獲得學(xué)士學(xué)位（2012年）和碩士學(xué)位（2015年）。目前的研究興趣主要包括：最優(yōu)再保險、信度理論、相依風(fēng)險模型、隨機比較和可靠性理論。已發(fā)表學(xué)術(shù)論文20余篇，其中在精算學(xué)領(lǐng)域頂級期刊 《Insurance: Mathematics and Economics》，《Scandinavian Actuarial Journal》, 《ASTIN Bulletin》發(fā)表3篇，運籌學(xué)領(lǐng)域頂級期刊《European Journal of Operations Research》發(fā)表2篇。
應(yīng)用數(shù)學(xué)與復(fù)雜系統(tǒng)重點實驗室
yl7703永利官網(wǎng)
大數(shù)據(jù)科學(xué)研究中心
二〇一八年六月一日
