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Modern Methods in Insurance Pricing and Industrial Statistics Book of Abstracts Book of Abstracts Book of Book of Abstracts Conference on Modern Methods in Insurance Pricing and Industrial Ststistics (MIPIS 2017) Sep 3-5, 2017 Bu-Ali Sina University, Hamedan, Iran Editors: Rahim Mahmoudvand Bu Ali Sina University Farzaneh Safavimanesh, Shahid Beheshti University Kristina Lurz, prognostica GmbH Scientific Programme Commttee ñ Ebrahim Aminiseresht (Bu-Ali Sina University) ñ Søren Asmussen (Aarhus University) ñ Hirbod Assa (University of Liverpool) ñ Majid Chahkandi (University of Birjand) ñ Tahir Ekin (Texas State University) ñ Javad Faradmal (Hamadan University of Medical Sciences) ñ Luca Frigau (University of Cagliari) ñ Yves-Lazurent Grize (Baloise Insurance, Basel) ñ Kristina Lurz (prognostica GmbH) ñ Rahim Mahmoudvand (Bu-Ali Sina University) ñ Adel Mohammadpour (Amirkabir University of Technology) ñ Ebrahim Nasiroleslami (Bu-Ali Sina University) ñ Teresa Oliveira (University of Aberta) ñ Paulo Canas Rodrigues (Federal University of Bahia) ñ Majid Sadeghifar (Bu-Ali Sina University) ñ Farzaneh Safavimanesh (Shahid Beheshti University) ñ Laleh Samarbakhsh (Ryerson University) ñ Asghar Seif (Bu-Ali Sina University) ñ Ehsan S. Soofi (University of Wisconsin-Milwaukee) ñ Refik Soyer (The George Washington University) ñ Dirk Surmann (Technical University of Dortmund) ñ Bijan Zohuri Zangeneh (Sharif University of Technology) Organizing Committee ñ Ebrahim Amini-Seresht (Bu-Ali Sina University) ñ Azam Dehghani (Shahid Beheshti University) ñ Rahim Mahmoudvand (Bu-Ali Sina University) ñ Sayed Jamal Mirkamali (Arak University) ñ Seyed Morteza Najibi (Shiraz University) ñ Ebrahim Nasiroleslami (Bu-Ali Sina University) ñ Majid Sadeghifar (Bu-Ali Sina University) ñ Asghar Seif (Bu-Ali Sina University) ñ Rasool Soleymani (Bu-Ali Sina University) II Preface Dear Participants, Colleagues, and Friends, WELCOME to the conference on Modern Methods in Insurance Pricing and Industrial Statistics. We are delighted to celebrate the continued success of our society, and its work to draw together the international community of statisticians, both academics and industry professionals, who share our goal of making statistics the foundation for decision making in business and related applications. We have put together an interesting programme with a number of keynote lectures, talks and posters, covering a broad range of topics in insurance pricing and industrial statistics. There will be eight keynote lectures opening the three conference days and five parallel sessions with 84 talks. The talks will be held either in English or in Farsi. A large number of posters - 33 altogether - will be presented. On Monday afternoon, there will be an excursion to the water cave and to Lalejin, the center of pottery and ceramic productions in the Middle East, which will be completed by a dinner in a traditional restaurant. We would like to thank the local organizing committee who made a great effort in making every participant’s attendance to the conference as pleasant as possible, as well as all of you who will contribute to the success of the conference by presenting talks, posters or leading workshops before and during the conference. Hamedan is a great city, and the host institution has been gracious and generous. We hope you will have a wonderful time and enjoy a productive conference. Rahim Mahmoudvand, Søren Asmussen and Kristina Lurz On behalf of the MIPIS 2017 Programme Committee III Sponsors IV Keynote Speakers ñ Hansjörg Albrecher, University of Lausanne, Switzerland ñ Søren Asmussen, Aarhus University, Denmark ñ Alireza Edalati, Actuary at VHV Insurance AG, Germany ñ Amin Hassanzadeh, Shahid Beheshti University, Iran ñ David Rios Insua, Rey Juan Carlos University, Spain ñ Gholamreza Nakhaeizadeh, Karlsruhe Institute of Technology, Germany ñ Jens Perch Nielsen, CASS Business School, United Kingdom ñ Amir Safari, Insurance Research Center, Iran ñ Ali Shojaie, University of Washington V Table of Content KEYNOTE LECTURES ..................................................................................................................................................... 1 AN ADVERSARIAL RISK ANALYSIS FRAMEWORK TO CYBER SECURITY .............................................................................................. 2 BAYESIAN IDEAS FOR PREMIUM STRATEGIES ............................................................................................................................. 3 CAT RISKS AND INSURANCE IN IRAN ........................................................................................................................................ 4 IMPROVED CUSTOMER IN ON-LINE CUSTOMER COMMUNICATION AND ITS STATISTICAL IMPLICATIONS .................................................. 5 INFERENCE IN HIGH DIMENSIONS WITH THE LASSO .................................................................................................................. 6 FROM STATISTICS TO MACHINE LEARNING AND BIG DATA MINING: APPLICATION CASES FROM AUTOMOTIVE INDUSTRY ........................ 7 MODELLING JOINT LIFETIMES OF COUPLES BY USING BIVARIATE PHASE-TYPE DISTRIBUTION .............................................................. 8 ON THE OPTIMALITY OF REINSURANCE FORMS ......................................................................................................................... 9 THE GERMAN INSURANCE INDUSTRY – REVIEW AND PERSPECTIVES ............................................................................................ 10 INVITED TALKS ........................................................................................................................................................... 11 A NON-PARAMETRIC APPROACH TO CLUSTERING MULTIPLE MULTIVARIATE TIME SERIES ............................................................... 12 DEEP NEURAL NETWORKS REVOLUTION ................................................................................................................................ 13 INSURANCE AND FINANCE: NEW PROBLEMS, NEW DIRECTIONS ................................................................................................. 14 MODEL SELECTION IN AN AUTOMATED FORECASTING SYSTEM ................................................................................................... 15 ROBUST SINGULAR SPECTRUM ANALYSIS: AN APPLICATION TO THE ENERGY SECTOR ...................................................................... 16 TAIL BEHAVIOR OF RANDOMLY WEIGHTED INFINITE SUMS ........................................................................................................ 17 CONTRIBUTED TALKS ................................................................................................................................................. 18 ACTUARIAL CALCULATION OF IRANIAN SOCIAL SECURITY ORGANIZATION AS OF 21 MARCH 2014 .................................................... 19 A MODIFIED ECONOMIC STATISTICAL DESIGN OF THE VSS �� CONTROL CHART .......................................................................... 23 A SIMULATION STUDY ON NON-HOMOGENEOUS BIVARIATE COMPOUND POISSON MODEL WITH SHORT-TERM PERIODICITY ................ 28 APPLICATIONS OF STATISTICAL MACHINE LEARNING IN NEUROIMAGING ...................................................................................... 32 APPLICATION OF SKEW LAPLACE DISTRIBUTION IN RISK MEASURES ............................................................................................. 36 COMPARING TWO BONUS-MALUS SYSTEMS IN A M-CONTINUOUS YEARS ................................................................................... 42 COLLECTIVE RISK MODEL: BAYESIAN PREMIUM AND OPERATIONAL RISK OF THE NEW GENERALIZED POISSON LINDLEY AND EXPONENTIAL DISTRIBUTIONS ................................................................................................................................................................. 44 CHARACTERIZATION OF BETA-PARETO DISTRIBUTION ............................................................................................................... 47 COPULA FUNCTION AND MEASURES OF ASSOCIATION .............................................................................................................. 50 DATA MINING TECHNIQUES ON EDUCATIONAL DATABASES: A CASE STUDY, IRANIAN ADMINISTRATION SYSTEM DATASET .................... 55 DETECTING BUBBLES IN TEHRAN STOCK EXCHANGE ................................................................................................................. 56 ESTIMATION OF RISK PREMIUM IN THE PARETO DISTRIBUTION WITH THE PRESENCE OF OUTLIERS .................................................... 64 ESTIMATION OF A HAZARD RATE FUNCTION FOR LIFE INSURANCE CLAIM DATA ............................................................................. 66 INSURANCE AGAINST LOSSES FROM NATURAL DISASTERS. EMPIRICAL EVIDENCE FROM NATURAL DISASTERS IN THE HISTORY OF IRAN ..... 73 INFERENCE ON SELECTING OPTIMAL COPULA FUNCTION BASED ON THE TRACKING INTERVAL WITH APPLICATION IN INSURANCE ............. 76 MODELING AND FORECASTING MORTALITY RATE FOR RASHT POPULATION .................................................................................. 80 MODELING HOSPITAL COSTS USING THE GENERALIZED GAMMA ADDITIVE MODEL ........................................................................ 83 ON DISCRETE TIME SPATIAL RENEWAL PROCESSES .................................................................................................................. 87 ON THE FINITE