報告人：胡祥（中南财經政法大學）

報告題目：Sarmanov random effects with marginal distributions from the one-parameter exponential family

報告摘要：This work proposes multivariate random effects models in which the unobservable risks of an insurance portfolio are dependent. The marginal distributions are assumed to belong to the one-parameter exponential family. The conjugate priors are developed for the risk profiles, where the dependenc structure is incorporated via the Sarmanov family of multivariate distributions. The multivariate posterior is derived, and in turn the Bayesian premium for the aggregate claim is given along with some results on the predictive joint and marginal distributions involving the claim frequency and the claim severity in the next period. Several applications are discussed to demonstrate the versatility of the proposed models.

報告時間：2025年1月2日（星期四）11:00-12:30

報告地點：科技樓706會議室

邀請人：吳付科

報告人簡介：胡祥，中南财經政法大學金融學院教授、文瀾青年學者，中國準精算師。南開大學經濟學博士，香港大學統計與精算學系訪問學者。研究領域主要包括風險管理與非壽險精算。英文研究成果主要發表在Insurance: Mathematics and Economics，Scandinavian Actuarial Journal，Journal of Computational & Applied Mathematics等期刊上；中文研究成果主要發表在《統計研究》《保險研究》等期刊上。先後主持國家自科基金青年項目和面上項目。