经济学院卓越讲坛第一百讲之汪世界

2024-07-02



报告题目:Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force

报告时间:202472 日(星期二)16:00-17:30

报告地点:翡翠湖校区科教楼B1008

报 告 人:汪世界

工作单位:安徽大学

主办单位:合肥工业大学经济学院

报告简介

This talk discusses the second order asymptotic expansions for tail probabilities of discounted aggregate claims in two types of continuous-time renewal risk models with constant interest forceincluding continuous-time renewal risk models without and with by-claims. By firstly constructing the randomly weighted Kesten-type inequality  for second order subexponential random variables, second order asymptotic formulae for these two types of continuous-time risk models are built. In comparison of the first order asymptotic formulae, our results are more superior and precise, which are demonstrated by some simple numerical studies.

报告人简介

汪世界,安徽大学副教授,大数据与统计学院统计系主任。目前主要从事重尾理赔下的风险模型理论、极值风险理论、应用随机过程等方面的研究工作。主持国家自然科学基金天元基金项目一项,主持安徽省自然科学基金面上项目一项,主持安徽省高校自然科学研究基金重点项目两项,主持高等学校省级优秀青年人才基金项目一项。在《Insurance: Mathematics & Economics》《Journal of Mathematical Analysis and Applications》《Journal of Applied Probability》《Statistics & Probability Letters》《Chinese Annals of Mathematics, Series B》《应用数学学报》《应用概率统计》等国内外学术期刊上发表论文近四十篇,其中SCI收录三十余篇。国内外多个SCI杂志的匿名审稿人。



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