FSA Seminar Series: Some New Developments of the Student-t Distribution

Events

Details

  • Time: 15:00-16:00, Friday
  • Date: Aug 23rd, 2019
  • Venue: MB537
  • Speaker: Dr Boris Choy, Discipline of Business Analytics, University of Sydney, Sydney, New South Wales, 2006 Australia

Abstract

This talk presents well-known and new properties of the Student-t distribution. Some of the properties improve the modelling ability for robustness and some make the model implementation of the Student-t distribution as easy as the normal distribution using Bayesian computational methods. A new non-elliptical multivariate Student-t distribution will be introduced. Actuarial and financial applications are given.

Speaker

Boris Choy received his PhD in Statistics from Imperial College London, MPhil in Statistics from the Chinese University of Hong Kong and BSc. (First Class Honours) in Mathematics from the University of Leeds.
Boris Choy's main research interests focus on robust statistical analysis of financial time series data and insurance data using heavy-tailed distributions via Bayesian computational methods and scale mixtures density representation. In financial applications, he is working on GARCH and stochastic volatility models. In insurance applications, he focuses on accurate calculation of premiums and prediction of loss reserve. His research interests also include option pricing, statistical consultation, survival analysis in finance, accounting and medicine, etc.
Boris Choy published his papers in the Journal of Royal Statistical Society, Series B, ASTIN Bulletin, etc. He was awarded the status of Chartered Statistician (CStat) by the Royal Statistical Society (UK) in 2002 and he is an Elected Member of the International Statistical Institute (ISI).
Boris Choy received a Discipline Teaching Excellent Award in 2010, an inaugural University ofSydney Business School Students’ Choice Award for Teaching in 2013, the Wayne Lonergan Outstanding Teaching Award in 2015, an inaugural Vice-Chancellor’s Award for Outstanding Teaching in 2016 and a number of Dean’s Citation for Teaching awards.