报告人：加拿大多伦多大学统计系教授厦门大学精算学研究中心主任（X. Sheldon Lin）

报告题目：A Marked Cox Model for IBNR Claims: Theory and Application

报告时间：2016年3月4日，星期五 上午9:00-10:30

报告地点：实验楼105

学院联系人:黄荣坦副教授

报告摘要：Incurred but not reported (IBNR) loss reserving is a very important issue for Property &Casualty (P&C) insurers. To calculate IBNR reserve, one needs to model claim arrivals and then predict IBNR claims. However, factors such as temporal dependence among claim arrivals and environmental variation are often not incorporated in many of the current loss reserving models,which may greatly affect the accuracy of IBNR predictions.

In this talk, I will present a new model for IBNR claims that is built on the modeling framework of Norberg (1993, 1999). We model the claim arrival process together with the reporting delays follows a marked Cox process. The intensity function of the Cox process is governed by a hidden Markov chain. I will show that the proposed model is versatile in modeling temporal dependence, can incorporate exposure fluctuation, and can be interpreted naturally in the insurance context. The associated reported claim process and IBNR claim process remain to be a marked Cox process with easily convertible intensity function and marking distribution. The specfic structure of the intensity function allows for generating discretely observed claim processes, which is critical for data fitting purposes. I will present a generalized expectation-maximization (EM) algorithm to the model to data and to estimate the model parameters. The proposed model is then examined through simulation studies and is applied to a real insurance claim data set. This is joint work with Andrei Badescu and Dameng Tang.

报告人简介：（X. Sheldon Lin）教授1980年于厦门大学数学系本科毕业 ，1990年在加拿大University of Alberta获得博士学位。1990-1991在加拿大Alberta大学数学系做博士后研究，1991-1992在加拿大Waterloo大学任应用 数学系助教，1993- 1997年任加拿大Toronto大学统计系助理教授，1997-2000年任Iowa大学统计和精算科学系副教授，2001-2002年任 Toronto大学统计系副教授。2002年开始受聘Toronto大学统计系教授。1997年开始任Waterloo大学统计与精算科学系兼职教授。 2011年3月起受聘为厦门大学精算学研究中心主任。

致力于精算、数理金融和应用概率的研究。1998和2004年两次获得北美精算年度最佳论文奖。是多届国际保险数学及经济大会科学委员会委员。发表50余篇高水平论文，出版专著2部。

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