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Conference Paper: Some recent research on dependence in actuarial science
Title | Some recent research on dependence in actuarial science |
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Authors | |
Issue Date | 2017 |
Publisher | Southern University of Science and Technology. |
Citation | Colloquium of Department of Mathematics, Southern University of Science and Technology, Shenzhen, China, 15 May 2017 How to Cite? |
Abstract | In practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has become an important topic in the actuarial literature. This talk discusses the so-called risk model with thinning dependence. A special case of this model is the frequently-used common shock risk model. Based on the thinning dependence, a few major actuarial issues including ruin analysis, optimal dividend and optimal reinsurance are considered. |
Persistent Identifier | http://hdl.handle.net/10722/252269 |
DC Field | Value | Language |
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dc.contributor.author | Yuen, KC | - |
dc.date.accessioned | 2018-04-13T07:27:42Z | - |
dc.date.available | 2018-04-13T07:27:42Z | - |
dc.date.issued | 2017 | - |
dc.identifier.citation | Colloquium of Department of Mathematics, Southern University of Science and Technology, Shenzhen, China, 15 May 2017 | - |
dc.identifier.uri | http://hdl.handle.net/10722/252269 | - |
dc.description.abstract | In practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has become an important topic in the actuarial literature. This talk discusses the so-called risk model with thinning dependence. A special case of this model is the frequently-used common shock risk model. Based on the thinning dependence, a few major actuarial issues including ruin analysis, optimal dividend and optimal reinsurance are considered. | - |
dc.language | eng | - |
dc.publisher | Southern University of Science and Technology. | - |
dc.relation.ispartof | Department of Mathematics, Southern University of Science and Technology, Shenzhen, China: Colloquium | - |
dc.title | Some recent research on dependence in actuarial science | - |
dc.type | Conference_Paper | - |
dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
dc.identifier.authority | Yuen, KC=rp00836 | - |
dc.identifier.hkuros | 283127 | - |
dc.publisher.place | Shenzhen, China | - |