报告人: 胡 祥（中南财经政法大学）

日  期: 2019年11月21日

时  间: 16:00

地  点: 理科楼 LA106

摘  要: In insurance risk management, modelling of a dependence structure between different type of risks is a critical task for both practicing actuaries and academics. This paper considers a discrete-time risk model by introducing a temporal dependence between the number of claims. The risk model is based on INAR(1) process with various kind of innovations, which allows equal-dispersion, over-dispersion and zero-inflation. We investigate the moment generating function of the discounted aggregate claim amount within this framework. With mixed Erlang claim size, related risk measures such as the stop-loss premium, VaR and TVaR are discussed. The findings are illustrated by numerical examples.

报告人简介：胡祥，中南财经政法大学金融学院副教授，硕士生导师，经济学博士，中国准精算师。主要研究领域为风险管理与非寿险精算。主持两项国家自然科学基金项目，并在Insurance: Mathematics and Economics，Scandinavian Actuarial Journal，统计研究，保险研究等期刊发表论文20余篇。

学院联系人: 张志民

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