Скачать или смотреть 2026-02-17 - NITheCS & SU Dept. of Statistics & Actuarial Science Seminar On Matrix-Valued Gamma Di

2026-02-17 - NITheCS & SU Dept. of Statistics & Actuarial Science Seminar: 'On Matrix-Valued Gamma Distributions in Multivariate Poisson Mixture Models' by Prof Uwe Schmock (TU Wien, Austria)

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ABSTRACT
(Joint work with Karoline Vonach):
In the collective model of actuarial science, it is popular to
assume that the claim number has a Poisson distribution
with a random intensity following a gamma distribution
(which results in a negative binomial distribution allowing
for overdispersion). The multivariate Poisson distribution
enables an extension to a multi-business-line model with
joint defaults. The vector of random Poisson intensities
including their dependence structure can be modelled in
terms of a matrix-valued gamma distribution, which is a
generalization of the Wishart distribution.
We discuss and derive properties of the involved
distributions, including their degenerate variants. Particular
emphasis is given to the probability-generating functions
and the characterisation of suitable biased probability
distributions.
Dr Uwe Schmock has been a full professor at TU Wien
since 2003, leading the research area in risk management
in financial and actuarial mathematics. He also serves as
Vice President of the Actuarial Association of Austria and
chaired its educational committee for over a decade.
After completing his PhD at TU Berlin, he spent 13 years at
the University and ETH Zürich, including as Research
Director of the Swiss RiskLab, working with partners such
as Credit Suisse, UBS, and Swiss Re. At TU Wien, he has
secured major research funding and directed the Christian
Doppler Laboratory for Portfolio Risk Management for eight
years.
Dr Schmock publishes in leading academic journals, is
coauthor of the current Austrian annuity life table, and is
currently working on two book projects. He is also an active
teacher, with international teaching experience and has
supervised 12 PhD students.