Discrete-Time Risk Model with Time-Varying Premiums: Analysis of Ruin Probabilities
报告人简介
吴学渊，副教授、博士生导师，现就职于澳大利亚墨尔本大学经济及工商管理学院精算研究中心，同时担任学院精算博士点项目主管。澳大利亚精算师协会准精算师，具有超过18年国际知名学府教学经验。任瑞士洛桑大学、香港大学和南开大学访问学者。美国《数学评论》评论员及27个国际学术期刊审稿人。已发表精算相关学术论文近40篇。主要研究领域为风险理论、精算统计和机器学习等。
内容简介
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for up to two time periods, representing real-world insurance practices. We examine a premium principle based on reported claims, using recursively computable finite-time ruin probabilities to evaluate the performance of time-varying premiums. Our findings suggest that, under specific assumptions, a higher probability of by-claim settlement delays leads to lower ruin probabilities. Moreover, a stronger correlation between main claims and their associated by-claims results in higher ruin probabilities.
