Financial and Actuarial Mathematics  
TU Wien, Austria  

2013-09-16   PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Prof. Dr. Nikolai V. Kolev

Department of Statistics, University of Sao Paulo, Brazil
(Curriculum Vitae & List of Publications)

Continuous Bivariate Distributions with Linear Sum of the Hazard Gradient Components and Actuarial Applications

The main purpose of this talk is to establish necessary and sufficient conditions such that the sum of the components of a hazard gradient vector of a bivariate continuous nonnegative distribution is a linear function of both arguments. We propose an approach to construct corresponding families of bivariate distributions having as particular cases many classical ones.
The concept of a hazard vector field is defined and its relationship with "conservative vector fields" of classical physics is shown. Geometric interpretations and multivariate extensions will be presented.
A simple example illustrates how the newly developed methodology can be applied in evaluating claim administration protocols. The approach would help to identify the optimum claim handling process and to make a choice between possible alternative scenarios. (Joint work with Jayme Pinto).

Zur Person / About the speaker: Nikolai Kolev is Professor in the Department of Statistics at the University of Sao Paulo, Brazil. His research interests include dependence modeling, random sums, copula theory, survival analysis as well as their actuarial applications. He is organizer of six Brazilian conferences on statistical modeling in insurance and finance since 2003 (visit http://www.ime.usp.br/bcsmif/).

Termin: Montag, 16. September 2013, 16:30 Uhr (pünktlich)
Ort: Technische Universität Wien,
1040 Wien, Wiedner Hauptstraße 8-10,
Freihaus, Turm B (gelber Bereich), 2. Stock,
Freihaus Hörsaal 3

Für Aktuare zählt der Besuch des Vortrags als Weiterbildung (ein CPD-Punkt). Für eine entsprechende Bestätigung melden Sie sich bitte vorab per E-Mail mit Namen und Postanschrift im Sekretariat bei Frau Sandra Trenovatz (sandra@fam.tuwien.ac.at) an.

Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs

Dr. Franz Kronsteiner
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Fakultät für Mathematik, Universität Wien

Univ.-Prof. Dr. Thorsten Rheinländer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien