时 间：2021年12月16日（周四）19：00-20：00
地 点：腾讯会议，ID：163 429 294
题 目：Dynamic Bivariate Mortality Modelling
报告人：Ying Jiao professor, University of Lyon 1
主持人：钱林义 教授
摘 要：
We introduce a new approach to analyze the mortality dependence between two individuals in a couple which is intended to describe in a dynamic framework the joint mortality of married couples. The proposed framework aims to incorporate bivariate status information and capture, by adjusting some parametric form, the desired effect such as the “broken-heart syndrome”. To this end, we use a well-suited multiplicative decomposition, which will serve as a building block for the framework to relate the dependence structure and the marginals, and we make the link with existing practice of affine mortality models. Finally, we propose some illustrative examples and show how the underlying model allows to describe the main stylized facts of bivariate mortality dynamics. This is a joint work with Yahia Salhi and Shihua Wang.
报告人简介：
Ying Jiao is professor at University of Lyon 1 (Institut de Science Financière et d'Assurances, France). She has obtained a PhD in Applied Mathematics at Ecole Polytechnique and has worked previously at Paris VII University and Peking University. Her research interests are in the theory of stochastic processes and their applications in mathematical finance and risk modelling.