教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第249期讲座

(2024年11月15日)

讲座主题：Bonus-malus Systems vs Delays in Claim Settlements: Analysis of Ruin Probabilities

摘要：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 one time period, representing real-world insurance practices. We examine two premium principles based on reported and settled 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. Lastly, the premium adjustment principles based on settled claims experience contribute to higher ruin probabilities compared to those based on reported claims experience, assuming all other factors remain constant. Notably, this difference becomes more pronounced when there is a high likelihood of by-claim delays.

报告人：吴学渊

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。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。

讲座时间：2024年11月15日（周五）

上午9:30-11:00

报告地点：腾讯会议号739806845

邀 请 人：孟辉