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报告题目:Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times


地点:腾讯会议 ID:132 323 885

报告摘要: In this paper, the classical compound Poisson model under periodic observation is studied. Different from the random observation assumption widely used in the literature, we suppose that the inter-observation time is a constant. In this model, both the finite-time and infinite-time Gerber-Shiu functions are studied via the Laguerre series expansion method. We show that the expansion coefficients can be recursively determined, and also analyze the approximation errors in detail. Numerical results for several claim size density functions are given to demonstrate effectiveness of our method, and the effect of some parameters is also studied.

报告人简介:张志民,重庆大学教授、博士生导师,重庆市学术技术带头人,香港大学和墨尔本大学访问学者。目前担任中国工业与应用数学学会理事,中国现场统计研究会风险管理与精算分会常务理事,重庆市统计学会理事等。主要研究兴趣为金融统计、金融数学模型、风险管理与精算学、机器学习等。已经发表SCI或SSCI论文50余篇,且多为第一作者或通讯作者,其中在风险管理与精算学权威杂志IME上发表论文5篇,ASTIN Bulletin上发表论文2篇,SAJ上发表论文9篇。作为项目负责人,主持3项国家自然基金(1项青年,2项面上),1项教育部博士点基金,2项重庆市自然基金和多个横向课题。

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