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報(bào)告題目：A comparative analysis of several multivariate zero-inflated and zero-modified models with applications in insurance

主講人：吳學(xué)淵教授（墨爾本大學(xué)）

時(shí)間：2024年11月18日（周一）9:30 a.m.

地點(diǎn)：北院卓遠(yuǎn)樓305會(huì)議室

主辦單位：統(tǒng)計(jì)與數(shù)學(xué)學(xué)院

摘要：Claim frequency data in insurance records the number of claims on insurance policies during a finite period of time. Given that insurance companies operate with multiple lines of insurance business where the claim frequencies on different lines of business are often correlated, multivariate count modeling with dependence for claim frequency is therefore essential. Due in part to the operation of bonus-malus systems, claims data in automobile insurance are often characterized by an excess of common zeros. This feature is referred to as multivariate zero-inflation. In this paper, we establish two ways of dealing with this feature. The first is to use a multivariate zero-inflated model, where we artificially augment the probability of common zeros based on standard multivariate count distributions. The other is to apply a multivariate zero-modified model, which deals with the common zeros and the number of claims incurred in each line given that at least one claim occurs separately. A comprehensive comparative analysis of several models under these two frameworks is conducted using the data of an automobile insurance portfolio from a major insurance company in Spain. A less common situation in insurance is the absence of some common zeros resulting from incomplete records. This feature of these data is known as multivariate zero-deflation. In this case, our proposed multivariate zero-modified model still works, as shown by the second empirical study.

主講人簡(jiǎn)介：

吳學(xué)淵,，教授,、博士生導(dǎo)師,，現(xiàn)就職于澳大利亞墨爾本大學(xué)經(jīng)濟(jì)及工商管理學(xué)院精算研究中心，同時(shí)擔(dān)任學(xué)院精算博士點(diǎn)項(xiàng)目主管,。澳大利亞精算師協(xié)會(huì)準(zhǔn)精算師,，具有超過(guò)18年國(guó)際知名學(xué)府教學(xué)經(jīng)驗(yàn)。瑞士洛桑大學(xué),、香港大學(xué)和南開(kāi)大學(xué)訪問(wèn)學(xué)者,。美國(guó)《數(shù)學(xué)評(píng)論》評(píng)論員及27個(gè)國(guó)際學(xué)術(shù)期刊審稿人。已發(fā)表精算相關(guān)學(xué)術(shù)論文近40篇,。主要研究領(lǐng)域?yàn)轱L(fēng)險(xiǎn)理論,、精算統(tǒng)計(jì)和機(jī)器學(xué)習(xí)等。