基地研究员胡祥教授合作论文"A combined integer-valued autoregressive process with actuarial applications"在Journal of Computational and Applied Mathematics公开发表。JCAM聚焦计算数学与应用数学领域，涵盖新算法开发、数值分析、参数估计及在工程、科学等领域的应用研究，强调方法的创新性、计算效率及实际验证。2024年影响因子为2.1，位列JCR Q1分区，中科院数学2区。

摘要：This paper proposes a modification of a combined integer-valued autoregressive (CINAR) process based on binomial thinning, which is instrumental in modeling higher-order dependence between the number of claims in an insurance portfolio. The modified CINAR process is more general and enjoys stationarity and flexibility in higher-order serial dependence modeling. Two actuarial applications of the proposed process in risk theory and credibility model are explored. As an application to risk theory, we derive the distribution of aggregate claims under a discrete-time collective risk model and examine the effect of high-order dependence on the tail-related risk measures of the aggregate claims. Next, we apply the modified CINAR process to account for the unobserved gamma heterogeneity in determining the dynamics of the predictive credibility premium. A real data analysis shows that our approach provides a superior pattern to the predictive premium calculation when compared to the outcomes of several alternative models.

关键词：Modified CINAR process; Higher-order dependence; Risk aggregation; Tail-related risk measures; Credibility model; Predictive premium

论文链接：https://doi.org/10.1016/j.cam.2024.116384

教师简介

胡祥，中南财经政法大学金融学院教授，中南财经政法大学“文澜青年学者”，主要研究方向为保险精算与风险管理。在Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal以及《统计研究》《保险研究》等学术期刊发表论文20余篇，主持并参与多项国家自然科学基金和国家社科基金项目。