03/16/06 MATHEMATICS
DEPARTMENT, FERRIS STATE UNIVERSITY

MATH
COLLOQUIUM, THURSDAY, MARCH 16, 11:00 AM, STARR 138

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**INVITED **Dr. Vytaras
Brazauskas, Associate Professor (Actuarial Science),

**SPEAKER:** Department of Mathematical Sciences, University of Wisconsin-Milwaukee** **

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**TITLE: ****Robust Statistical Methods for
Actuarial Modeling**

**ABSTRACT:** *Statistical methods play an important role in the pricing and*

*risk** measurement of insurance portfolios. While standard approaches*

*(e.g., parametric and empirical nonparametric procedures) are
quite*

*successful** in predicting behavior of typical risks, their performance*

*is** poor when portfolio contains non-typical excessive claims, also*

*known** as `outliers'. To alleviate this problem, we propose to use
robust*

*statistical** techniques because they are designed to "deal" with
outliers.*

*In this talk, we will present a sample of actuarial modeling
problems*

*from** reinsurance (e.g., proportional, excess-of-loss, largest claims),*

*risk** measurement (e.g., proportional hazard transform, conditional
tail*

*expectation**, value-at-risk), and credibility (e.g., Buhlmann-Straub*

*model**). Also, some "success stories" of robust statistical
methods in*

*these** areas will be discussed.*

**REFRESHMENTS: **11:00
am, STARR 138

### Please visit Math Colloquium website at

http://www.ferris.edu/htmls/colleges/artsands/Math/MATH_COLLOQUIUM/ColloquiumWeb/index.html

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