Professor Xiang Hu, a researcher of the base, has published a collaborative paper titled "A combined integer-valued autoregressive process with actuarial applications" in Journal of Computational and Applied Mathematics.

JCAM focuses on computational and applied mathematics, covering the development of novel algorithms, numerical analysis, parameter estimation, and applied research in engineering and scientific fields, emphasizing methodological innovation, computational efficiency, and practical validation. With a 2024 impact factor of 2.1, it is ranked in JCR Q1 and categorized as CAS Mathematics 2nd Zone.

Abstract:

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.

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

Link：https://doi.org/10.1016/j.cam.2024.116384

Teacher profile

Xiang Hu, Professor at the School of Finance, Zhongnan University of Economics and Law, and a recipient of the university’s "Wenlan Young Scholar" title, specializes in insurance actuarial science and risk management. He has published over 20 papers in leading academic journals including Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, North American Actuarial Journal, Statistical Research, and Insurance Research. He has led or participated in multiple research projects funded by the National Natural Science Foundation of China and the National Social Science Fund of China.