1. Concordia University

    http://www.ctmotoparts.com/content/shared/en/events/artsci/math-stats/2020/01/10/visitor-seminar.html

    Workshops & seminars

    Mathematics & Statistics visitor seminar

    Application of Random Effects in Dependent Compound Risk Model

    Date and time
    Date & time

    January 10, 2020
    10 a.m. – 11:15 a.m.

    Where
    Where

    Room 921-4
    J.W. McConnell Building
    1400 De Maisonneuve W.
    Sir George Williams Campus

    Cost
    Cost

    This event is free

    Wheelchair accessible
    Wheelchair accessible

    Yes

    Contact
    Contact

    Ms. Geraldine Ford
    3232


    SPEAKER: Mr. Himchan Jeong

    (University of Connecticut, CT)

    ABSTRACT:  In ratemaking for general insurance, the calculation of a pure premium has traditionally been based on modeling both frequency and severity in an aggregated claims model. Additionally for simplicity, it has been a standard practice to assume the independence of loss frequency and loss severity. However, in recent years, there has been sporadic interest in the actuarial literature exploring models that departs from this independence. Besides, usual property and casualty insurance enables us to explore the benefits of using random effects for predicting insurance claims observed longitudinally, or over a period of time.  Thus, in this article, a research work is introduced with utilizes random effects in dependent two-part model for insurance ratemaking, testing the presence of random effects via Bayesian sensitivity analysis with its own theoretical development as well as empirical results and performance measures using out-of-sample validation procedures.

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