Discrete-Time Risk Model with Time-Varying Premiums: Analysis of Ruin Probabilities
報告人簡介
吳學淵，副教授、博士生導師，現就職于澳大利亞墨爾本大學經濟及工商管理學院精算研究中心，同時擔任學院精算博士點項目主管。澳大利亞精算師協會準精算師，具有超過18年國際知名學府教學經驗。任瑞士洛桑大學、香港大學和南開大學訪問學者。美國《數學評論》評論員及27個國際學術期刊審稿人。已發表精算相關學術論文近40篇。主要研究領域為風險理論、精算統計和機器學習等。
內容簡介
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.
