The School of Computing and Data Science (https://www.cds.hku.hk/) was established by the University of Hong Kong on 1 July 2024, comprising the Department of Computer Science and Department of Statistics and Actuarial Science and Department of AI and Data Science.

Abstract

This talk is devoted to the study of new stochastic models for risk processes basedon Hawkes and marked Hawkes processes and their applications in insurance. We first introduce those models and outline some properties. Then we will present two applications of those models in insurance: solution of Merton optimization problem and finding ruin probabilities. Numerical examples will be presented as well.

About the speaker

 

 

Division of Computer Science,
School of Computing and Data Science

Rm 207 Chow Yei Ching Building
The University of Hong Kong
Pokfulam Road, Hong Kong
香港大學計算與數據科學學院, 計算機科學系
香港薄扶林道香港大學周亦卿樓207室

Email: csenq@hku.hk
Telephone: 3917 3146

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