Hansjoerg Albrecher je profesor aktuarske matematike na Univerzi v Lausanni v Švici. Doktoriral je na Tehnični univerzi v Gradcu v Avstriji. Je avtor več kot sto znanstvenih člankov in večih monografij iz aktuarstva, verjetnosti in statistike. Je glavni urednik European Actuarial Journal in glavni urednik zbirke Springer Actuarial Series. Je član uredniškega odbora še več drugih znanstvenih revij iz aktuarstva, financ in verjetnosti. Je dobitnik več prestižnih nagrad. Med drugim je prejemnik Hochmeisterjeve nagrade, ki jo podeljuje Casual Actuarial Society. Je izvoljeni član International Statistical Institute.
Speaker: Prof. Hansjoerg Albrecher
Title: Matrix Distributions and Insurance Risk Models
Abstract: In this talk some recent developments on matrix distributions and their connection to absorption times of inhomogeneous Markov processes will be discussed, in particular how and why such constructions are natural tools for modelling in non-life and life insurance applications. We illustrate the approach for the modelling of mortality in both a single- and multi-population context, as well as modelling of joint lifetimes of couples. Finally, it is shown how certain extensions to the non-Markovian case involve fractional calculus and lead to matrix Mittag-Leffler distributions, which turn out to be a flexible and parsimonious class for the modelling of large but rare insurance loss events.
Slovensko aktuarsko društvo, Slovenian Actuarial Association 