MATH COLLOQUIUM, THURSDAY, MARCH 16, 11:00 AM, STARR 138



INVITED       Dr. Vytaras Brazauskas, Associate Professor (Actuarial Science),

SPEAKER:    Department of Mathematical Sciences, University of Wisconsin-Milwaukee   



TITLE:           Robust Statistical Methods for Actuarial Modeling


ABSTRACT: Statistical methods play an important role in the pricing and

risk measurement of insurance portfolios. While standard approaches

(e.g., parametric and empirical nonparametric procedures) are quite

successful in predicting behavior of typical risks, their performance

is poor when portfolio contains non-typical excessive claims, also

known as `outliers'. To alleviate this problem, we propose to use robust

statistical techniques because they are designed to "deal" with outliers.

In this talk, we will present a sample of actuarial modeling problems

from reinsurance (e.g., proportional, excess-of-loss, largest claims),

risk measurement (e.g., proportional hazard transform, conditional tail

expectation, value-at-risk), and credibility (e.g., Buhlmann-Straub

model). Also, some "success stories" of robust statistical methods in

these areas will be discussed.


REFRESHMENTS:  11:00 am,  STARR 138

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