About the speaker:

Professor Yuen obtained his Ph.D. degree in Statistics in 1993 and has been named an Associate of the Society of Actuaries - a major Actuarial Professional body in North America) in 1991. After graduation, he joined the Department of Statistics (the former name of the Department of Statistics and Actuarial Science), the University of Hong Kong. Prof. Yuen is the founder of the Actuarial Science program at the University of Hong Kong, which was established in 1994. Professor Yuen has been the Director of the Actuarial Science programme for many years. Since its inception, the Actuarial Science program continues to rank among the top undergraduate programmes in Hong Kong in terms of average JUPAS admission scores. Under his leadership, the department has become a Center of Actuarial Excellence conferred by the Society of Actuaries, and the first programme in Asia obtaining accreditation from the Institute and Faculty of Actuaries - the main actuarial professional body in UK. As for research, Professor Yuen has published many academic papers, and has been awarded many research grants. In particular, he is the principle investigator of the 2013 Center of Actuarial Excellence research grant (> 2 million HKD) funded by the Society of Actuaries, and 5 Earmarked Research Grants from the Research Grant Council of Hong Kong. Many results generated from the above-mentioned research grants were published in top international statistical journals such as Biometrika, Probability Theory and Related Fields, Scandinavian Journal of Statistics, and Stochastic Processes and their Applications, and in top actuarial journals including ASTIN Bulletin, Insurance: Mathematics and Economics, North American Actuarial Journal, and Scandinavian Actuarial Journal. Professor Yuen received a research award from the Actuarial Society of Hong Kong, and was invited to present the research to members of the Society in 1996. Also, he has supervised many postgraduate students over the years. A few of them has become faculty members in some well-known universities such as the University of Melbourne and the University of Liverpool.

Abstract:

In practice, an insurance company usually has several classes of business which are more or less correlated with each other. In view of the complex nature of modern insurance products, research on modeling dependent classes of business has become an important topic in the actuarial literature. This talk discusses the so-called risk model with thinning dependence. A special case of this model is the frequently-used common shock risk model. Based on the thinning dependence, a few major actuarial issues including ruin analysis, optimal dividend and optimal reinsurance are considered.