CAST Seminar: Himchan Jeong

Join us at the CANSSI Ontario STatistics Seminars (CAST) with

Himchan Jeong

Assistant Professor
Department of Statistics & Actuarial Science
Simon Fraser University

Talk Title

Tweedie Multivariate Semi-Parametric Credibility with the Exchangeable Correlation

Abstract

This article proposes a framework for determining credibility premiums for multiple coverages in a compound risk model with Tweedie distribution. The framework builds upon previous results on credibility premium and provides an explicit multivariate credibility premium formula that is applicable to the Tweedie family assuming that the unobserved heterogeneity for the multiple coverage have the common correlation. The practical applicability of the proposed framework is evaluated through simulation and empirical analysis using the LGPIF dataset, which includes claims and policy characteristics data for various types of coverages observed over time. The findings suggest that the proposed framework can be useful in ratemaking practice by incorporating a non-trivial dependence structure among the multiple types of claims.

Speaker Profile

Himchan holds a Ph.D. in Mathematics with a concentration in Actuarial Science from the University of Connecticut, and a M.Sc. (Statistics), B.A. (Business Administration), and B.Sc. (Mathematical Science) from Seoul National University, South Korea. Himchan is also a Fellow of the Society of Actuaries (SOA). Professionally, Himchan has authored over 30 peer-reviewed publications, appearing in the well-known actuarial science and statistics journals such as Insurance: Mathematics and Economics, Journal of Royal Statistical Society: Series A, Scandinavian Actuarial Journal, ASTIN Bulletin, Annals of Actuarial Science, and Risks. He has also been awarded grants from the Canadian Institute of Actuaries, the Casualty Actuarial Society, the Society of Actuaries (Hickman Scholarship), and the Natural Sciences and Engineering Research Council (NSERC) of Canada. His current research interest is predictive modeling for ratemaking and reserving of property and casualty insurance.