Seminars

李国平数理科学讲座--张艺赢 助理教授

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报告人: 张艺赢 助理教授 (南方科技大学)报告题目: Credibility theory for mean-variance premium principles 报告时间: 2022.6.30, 周四,上午10:00—12:00 (北京时间)腾讯 ID: 410-644-205 报告摘要: The method of credibility theory plays a critical role in various research areas of actuarial science. Among others, the hypothetical mean and process variance are two quantities that convey crucial informa...

报告人: 张艺赢 助理教授 (南方科技大学)

报告题目: Credibility theory for mean-variance premium principles

报告时间: 2022.6.30 周四,上午1000—12:00 (北京时间)

腾讯 ID: 410-644-205

报告摘要:

The method of credibility theory plays a critical role in various research areas of actuarial science. Among others, the hypothetical mean and process variance are two quantities that convey crucial information to insurance companies when determining premiums for the insureds. The classical simple Bühlmann model charges premiums by applying a linear combination of the mean of past claims and the population mean, which is proven to be the best estimator of the hypothetical mean under mean squared loss criterion. Several numerical illustrations are carried out to demonstrate the performance of the estimator. Meanwhile, a spin-off result is found and utilized to compare with the classical simple Bühlmann model and the q-credibility model. The non-parametric estimators of structural quantities are also provided for ease of its practical usage, yielding the empirical credibility estimator.

张艺赢简介:

张艺赢,南方科技大学数学系助理教授,博士生导师。2012年及2015年分别在兰州大学数学与统计学院获得理学学士和硕士学位。20189月在香港大学统计与精算学系获得精算学方向哲学博士学位, 201810月至20191月在鲁汶大学和阿姆斯特丹大学进行学术访问。20191月至20218月在南开大学统计与数据科学学院工作,任助理教授。20218月加入南方科技大学数学系,任助理教授。主要研究兴趣包括最优再保险、信度理论、系统性风险、风险测度、相依风险模型、随机序理论及随机比较、可靠性分析及系统可靠性设计与优化。已在保险精算主要期刊Insurance: Mathematics and EconomicsASTIN BulletinScandinavian Actuarial JournalNorth American Actuarial Journal,以及运筹管理领域主流期刊European Journal of Operational ResearchReliability Engineering & System SafetyNaval Research Logistics等杂志发表多篇学术研究论文。主持完成天津市自然科学基金青年项目一项,现主持国家自然科学基金青年项目一项。2019年入选天津市131创新型人才培养工程第三层次,2021年入选南方科技大学鹏城孔雀特聘岗位。