报告题目：Estimating the time value of ruin in a Lévy risk model under low-frequency observation

报告人：王文元

报告时间: 12月14日（周三）下午15:00-16:00

报告地点：腾讯会议 ID: 525-968-459

点击链接入会： https://meeting.tencent.com/dm/0RxdC08jBrhH

报告摘要：

In this paper, we consider statistical estimation of the time value of ruin in a Lévy risk model. Suppose that the aggregate claims process of an insurance company is modeled by a pure jump Lévy subordinator, and we can observe the data set on the aggregate claims based on low-frequency sampling. The time value of ruin is estimated by the Fourier-cosine method, and the uniform convergence rate is also derived. Through a lot of simulation studies, we show that our estimators are very effective when the sample size is finite. (Joint work with Jiayi Xie and zhimin Zhang@Chongqing University)

报告人简介：

王文元，博士，厦门大学数学科学学院副教授、博士生导师。主要研究方向有保险金融数学、概率论与随机过程、随机控制与优化。目前主要研究兴趣有马氏可加过程下的最优控制问题和基于机器学习的随机控制问题。近年来以第一或通讯作者身份在保险精算领域杂志Insurance Math Econom、Scand Actuar J、Eur Actuar J，理论与应用概率领域杂志J Theoret Probab、Adv in Appl Probab、J Appl Probab、Extremes，随机控制领域杂志J Optim Theory Appl等上发表科研论文40余篇。主持国家自然科学基金项目3项。2017年入选福建省新世纪优秀人才支持计划。