学术讲座

报告题目：Modeling and a posteriori ratemaking for multiple perils with the Wishart-gamma random effects model （用Wishart-伽马随机效应模型对多个危险进行建模和事后费率制定）

报告时间：2025年07月21日（周一）下午16：00-17：00

报告专家：加拿大蒙特利尔康考迪亚(Concordia)大学陆扬副教授

报告地点：湘江楼A926会议室

报告摘要：The Wishart-gamma random effects model, introduced by Denuit and Lu (2021), is both flexible and tractable for a variety of insurance applications such as multi-peril ratemaking, frequency-severity ratemaking, and micro-reserving.However, so far, this model has yet to be applied in either the statistical or the actuarial literature, and one important challenge is that its pricing and likelihood formulas involve a high-dimensional determinant as well as its derivatives. This paper fills this gap and introduces appropriate tools to deal with such derivatives and applies them to multi-peril ratemaking. More precisely, we use matrix differential calculus to simplify the pricing formula, the principal minor assignment to analyze the model identification, as well as the composite likelihood for model estimation.We use simulated data to illustrate the effectiveness of our method and estimate the model on a real multi-peril insurance claim dataset.

专家简介：陆扬， 加拿大蒙特利尔康考迪亚(Concordia)大学数学与统计系副教授。 陆扬副教授本科，硕士毕业于巴黎高等师范大学数学系，于2015年博士毕业于巴黎第九大学数学系。 曾在法国艾克斯马赛(Aix-Marseille)大学和巴黎十三大学分别担任博士后研究员和讲师，并于2021年加入Concordia大学。陆扬副教授的研究方向为统计和计量经济学在精算和金融上的应用。陆老师曾在管理科学（Management Science）, 数理金融（Mathematical Finance）, 保险：数学和经济学(Insurance: Mathematics and Economics )，银行与金融杂志 (Journal Of Banking & Finance)，斯堪的纳维亚统计杂志（Scandinavian Journal of Statistic）等期刊上发表论文30余篇。