Comet Calendar Event Details

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Mathematical Sciences Colloquium by Himchan Jeong
Thursday, Dec. 12, 2019
3 p.m. - 4 p.m. Location: FO 2.404

Himchan Jeong

University of Connecticut

and

Fellow of the Society of Actuaries

Application of random effects in dependent compound risk model

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.

Coffee for our talk will be served 30 minutes prior to the talk in FO 2. 404.

 

Persons with disabilities may submit a request for accommodations to participate in this event at UT Dallas' ADA website. You may also call (972) 883-5331 for assistance or send an email to [email protected]. All requests should be received no later than 2 business days prior to the event.
Contact Info:
Viswanath Ramakrishna, 972-883-6873
Questions? Email me.

Tagged as Lectures/Seminars, Professional Dev.
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