Optimal reinsurance for an actuarial model with dependent risks
Presented by: University of CalgaryCategory: Other Event
Price: $0
Date: July 14, 2016 – July 14, 2016
Address: 2500 University Drive NW, Calgary, Alberta T2N 1N4
Website: http://www.ucalgary.ca/
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 proposed by Wang and Yuen (2005) [Insurance: Mathematics and Economics, 36(3), 456-468]. A special case of this model is the frequently-used common shock risk model. Based on the thinning dependence, optimal proportional reinsurance is discussed under the criterion of maximizing adjustment coefficient. This research is supported by the CAE 2013 research grant from the Society of Actuaries.
Location:
Math Sciences 431
Speaker:
Professor Kam Chuen Yuen Department of Statistics and Actuarial Science,The University of Hong Kong, Pokfulam Road, Hong Kong
More information at http://www.ucalgary.ca/events/calendar/optimal-reinsurance-actuarial-model-dependent-risks