太阳集团游戏官方网址、所2020年系列学术活动(第174场):张志民 教授 重庆大学

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报告题目:Statistical estimation for some dividend problems under the compound Poisson risk model

报 告 人:张志民 教授 重庆大学

报告时间:2020年8月14日 13:30-14:30

报告地点:Tencent会议ID:194 727 288

或点击链接直接加入会议:

https://meeting.tencent.com/s/i8LNLggRLlFm

校内联系人:程建华 chengjh@jlu.edu.cn


报告摘要:

In this paper, we consider some dividend problems in the classical compound Poisson risk model under a constant barrier dividend strategy. Suppose that the Poisson intensity for the claim number process and the distribution for the individual claim sizes are both unknown. We use the COS method to study the statistical estimation for the expected present value of dividend payments before ruin and the expected discounted penalty function. The convergence rates under large sample setting are derived. Some simulation results are also given to show effectiveness of the estimators under finite sample setting.


报告人概况:

张志民,重庆大学教授、博士生导师,重庆市学术技术带头人。主要研究兴趣为风险管理与精算学、金融统计、金融数学模型、非参数统计等。目前已经发表SCI或SSCI论文50余篇,且多篇发表在精算核心杂志IME、SAJ上。作为项目负责人,主持1项国家自然基金青年基金和2项面上项目,1项教育部博士点基金和2项重庆市自然基金。


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