講座主題：保險精算中的新興風險治理

主講人：金卓，麥考瑞大學教授

講座時間：6月30日周五上午10:30-12:00

講座地點：主樓A1-513

專家介紹：

2023年-今  麦考瑞大学精算研究和商业分析系研究主任；

2022年-今  麦考瑞大学精算研究和商业分析系教授；

2019年-2021年  墨尔本大学商学硕士（精算研究）项目主任；

2021年– 2022年  墨尔本大学经济系精算研究中心副教授；

2016年–2020年  墨尔本大学经济系精算研究中心高级讲师。

報告內容簡介：

For cyber risk management, a cluster-based method is developed to investigate the risk of cyber-attacks in the continental United States. The proposed analysis considers geographical information on cyber incidents for clustering. By clustering state-based observations, the frequency and severity of cyber losses demonstrate a simplified structure: independent structure between inter-arrival time and size of cyber breaches. The independence between frequency and severity is significant at the state level instead of the national level. It is shown that the cluster-based models have a better fitting and are more robust than the aggregate model, where all incidents are considered together. To detect fraud insurance claims, we propose a new variable importance methodology incorporated with two prominent unsupervised deep learning models, namely, the autoencoder and the variational autoencoder. Each model's dynamics are discussed to inform the reader on how models can be adapted for fraud detection and how results can be perceived appropriately with a greater emphasis placed on qualitative evaluation.