报  告  人: 季兰朋 （University of Leeds）

报告时间：2025年7月11 号上午9:30-10:30

报告地点：苏州大学览秀楼201；#腾讯会议：362-683-9628

报告摘要： In this talk, we discuss Bayesian CART (or BCART) models for insurance pricing. We will introduce frequency-severity models, sequential models and joint models.  For this purpose, we propose a general framework for BCART models applicable to data with multivariate responses, which is particularly useful for the joint BCART models with a bivariate response: the number of claims and the aggregate claim amount. To facilitate frequency-severity modelling, we investigate BCART models for the right-skewed and heavy-tailed claim severity data using various distributions. We discover that the Weibull distribution is superior to gamma and lognormal distributions, due to its ability to capture different tail characteristics in tree models. Additionally, we find that sequential BCART models and joint BCART models, which can incorporate more complex dependence between the number of claims and severity, are beneficial and thus preferable to the frequency-severity BCART models in which independence is assumed. The effectiveness of these models' performance is illustrated by carefully designed simulations and real insurance data.

(This talk is based on joint works with Yaojun Zhang, Georgios Aivaliotis and Charles Taylor.)

 

报告人简介： 

Dr. Ji is a lecturer in the Department of Statistics at the University of Leeds. He has a PhD in Actuarial Science at University of Lausanne (UNIL) and was awarded "Prix de la Fondation Nicolas et Helene Porphyrogenis 2014" for his excellent PhD thesis. After his PhD he worked as a Postdoc researcher at UNIL from Feb 2014 to April 2016 and at University of Applied Science of Western Switzerland from May 2016 to Dec 2017. He has interests and contributions in various research areas, including actuarial mathematics, extreme value theory, Gaussian random fields and more recently, Bayesian CART models. His works appear in academic journals on probability, statistics and actuarial science, including Annals of Probability, Stochastic Processes and Their Applications, Extremes, Scandinavia Actuarial Journal and Insurance: Mathematics and Economics. He serves as an editorial board member for the academic journal Risks.