报告题目：On a two-dimensional risk model with time-dependent claim sizes and risky investments
报告时间：2018年6月27日，上午10:00
地点：18-918
报告人：傅可昂（浙江工商大学）
摘要：Consider a two-dimensional risk model, in which two insurance companies divide between them the claims in some specified proportions. Suppose that the claim sizes and interarrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, and the surpluses of the two companies are invested into portfolios whose returns follow two different geometric Lévy processes. When the claim-size distribution is extended-regularly-varying tailed, asymptotic expressions for the ruin probability of this two-dimensional risk model are exhibited. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
报告人简介：傅可昂，男，浙江工商大学统计与数学学院教授，统计学硕导，2009年获浙江大学理学博士学位。主要的研究领域包括重尾风险模型和重尾时间序列模型，在Insurance: Mathematics & Economics，Stochastic Models，Statistics & Probability Letters，Information Sciences，Fuzzy Sets and Systems，Science China: Mathematics，Journal of Computational and Applied Mathematics，数学学报，数学年刊等一级/SSCI/SCI期刊发表论文20余篇，主持（完成）国家自然科学基金2项，浙江省自然科学基金2项，教育部人文社科基金1项，国家统计局课题1项。
