报告人：胡祥（中南财经政法大学）

报告题目：Sarmanov random effects with marginal distributions from the one-parameter exponential family

报告摘要：This work proposes multivariate random effects models in which the unobservable risks of an insurance portfolio are dependent. The marginal distributions are assumed to belong to the one-parameter exponential family. The conjugate priors are developed for the risk profiles, where the dependenc structure is incorporated via the Sarmanov family of multivariate distributions. The multivariate posterior is derived, and in turn the Bayesian premium for the aggregate claim is given along with some results on the predictive joint and marginal distributions involving the claim frequency and the claim severity in the next period. Several applications are discussed to demonstrate the versatility of the proposed models.

报告时间：2025年1月2日（星期四）11:00-12:30

报告地点：科技楼706会议室

邀请人：吴付科

报告人简介：胡祥，中南财经政法大学金融学院教授、文澜青年学者，中国准精算师。南开大学经济学博士，香港大学统计与精算学系访问学者。研究领域主要包括风险管理与非寿险精算。英文研究成果主要发表在Insurance: Mathematics and Economics，Scandinavian Actuarial Journal，Journal of Computational & Applied Mathematics等期刊上；中文研究成果主要发表在《统计研究》《保险研究》等期刊上。先后主持国家自科基金青年项目和面上项目。