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Presentation: Actuarial studies for the insurance risk model with thinning dependence
| Title | Actuarial studies for the insurance risk model with thinning dependence |
|---|---|
| Authors | |
| Issue Date | 2015 |
| Citation | School of Mathematics and Computer Science, Fujian Normal University, Fuzhou, China, 14 October 2015 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 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, a few major actuarial issues including ruin analysis, optimal dividend and optimal reinsurance are considered. |
| Persistent Identifier | http://hdl.handle.net/10722/226900 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yuen, KC | - |
| dc.date.accessioned | 2016-07-11T06:59:06Z | - |
| dc.date.available | 2016-07-11T06:59:06Z | - |
| dc.date.issued | 2015 | - |
| dc.identifier.citation | School of Mathematics and Computer Science, Fujian Normal University, Fuzhou, China, 14 October 2015 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/226900 | - |
| 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 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, a few major actuarial issues including ruin analysis, optimal dividend and optimal reinsurance are considered. | - |
| dc.language | eng | - |
| dc.relation.ispartof | School of Mathematics and Computer Science, Fujian Normal University, Fuzhou, China | - |
| dc.title | Actuarial studies for the insurance risk model with thinning dependence | - |
| dc.type | Presentation | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.authority | Yuen, KC=rp00836 | - |
| dc.identifier.hkuros | 258685 | - |