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精算论坛讲座第184期—李政宵(4月26日)

发布时间:2021-04-21 10:25    浏览次数:[]

教育部人文社科重点研究基地中央财经大学2021欧洲杯足球竞猜官方平台学术活动

精算论坛讲座第184

(2021426)

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报告题目:A new class of copulas and its regressions for modelling multivariate heavy-tailed data

 

报告人李政宵 (对外经济贸易大学)

 

李政宵,中国人民大学经济学博士,现为对外经济贸易大学保险学院统计与精算系副教授,主要研究领域为精算统计模型,相依风险建模和巨灾风险管理。近年来在《ASTIN Bulletin: The Journal of the IAA》、《统计研究》、《数理统计与管理》、《系统工程理论与实践》、《保险研究》等国内外核心期刊发表多篇学术论文,出版学术专著一部,主持国家自然科学基金青年项目一项,先后参与国家社会科学基金重大项目、国家自然科学基金一般项目、教育部人文社会科学重点研究基地重大项目等多项课题研究。

 

摘要:

This talk proposes a new class of copulas that we call MGL copula. The new copula originates from extracting the dependence function of the multivariate generalized log-moyal-gamma (MGL) distribution whose marginals follow the univariate generalized log-moyal-gamma (GLMGA) distribution proposed by Li et al. (2021). The MGL copula can capture nonelliptical, exchangeable, and asymmetric dependencies among marginal coordinates and provide a simple formulation for regression applications.  We first discuss the probabilistic characteristics of MGL copula, and then obtain the corresponding extreme-value copula (MGL-EV copula). While the survival MGL copula can be also regarded as a special case of the MGB2 copula (Yang et al., 2011), we show that the proposed model is effective in regression modelling the dependence structures along with covariates. A simulation study is proposed to study the estimation method. Three applications are investigated to illustrate the usefulness of the proposed model.

 

报告时间:2021426 14:00--15:30

报告地点:腾讯会议(会议ID774 855 372

邀请人:池义春

欢迎各位老师和同学积极参加!

 

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