报告人： Yongzhao Chen The Hang Seng University of Hong Kong

报告时间： 2023年10月24日星期二  16:00-17:00

报告地点：览秀楼105学术报告厅

报告摘要：

Determining the premium of an insurance product for the insured has long been one of the core issues of insurance companies. In this talk, we conduct the first systematic study on the risk premium calibration under the celebrated evolutionary credibility models which had been studied in earlier literature but only for net premium, while this study now simultaneously estimates the process variance and the hypothetical mean. The objective is to minimize the mean square deviation of the empirical estimates from the respective theoretical mean and process variance, which leads to extending the set of classical normal equations. Despite that no more closed-form solutions of the normal equations can be obtained, an effective numerical scheme featuring a novel recursive LU algorithm is obtained for the progressively enlarging coefficient matrices, whose effectiveness is demonstrated through several common time series models, namely ARMA. Discussions on comparisons with representative existing literature will also be included.

个人简介：

Yongzhao Chen received his BSc in Actuarial Science (with First Class Honours) in 2017 and PhD in Actuarial Science in 2022, both from the University of Hong Kong. Before joining HSUHK in September, he was a Research Assistant at the Department of Statistics, the Chinese University of Hong Kong. He has published research works in representative journals such as Risks and Insurance: Mathematics and Economics, and successfully obtained a competitive grant from the Hong Kong Research Grants Committee in 2023.