“统计大讲堂”系列讲座第140讲
2020-12-12
报告时间：2020年12月16日（周三）
上午10:00
报告形式：腾讯会议
报告嘉宾：Jun Cai
报告主题：A multivariate CVaR risk measure from the perspective of systemic risk management
In this talk, we introduce a new multivariate conditional value at risk (MCVaR) risk measure. This MCVaR considers both individual risks and the aggregate risk of a portfolio, but prioritizes the aggregate risk. This new MCVaR risk measure is based on a multivariate loss function, which considers the systemic risks faced by a decision maker when the decision maker needs to determine required capitals or premiums for a risk portfolio. The systemic risks consist of shortfall and surplus risks from all individual risks and the aggregate risk in a portfolio, and the overall deviation risk of a portfolio. It is showed that this MCVaR risk measure holds the properties of positive homogeneity, translation invariance, subadditivity, and monotonicity under certain conditions. Numerical examples of this MCVaR risk measure are presented to illustrate the effect of dependence among individual risks on the MCVaR. This talk is based on a joint work with Huameng Jia and Tiantian Mao.
Jun Cai is Professor of Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo. His research interests include dependence modelling, optimization problems in insurance and finance, risk management for insurance and finance, risk management with model uncertainty. His publications appear in different journals including Mathematical Finance, Journal of Risk and Insurance, Finance and Stochastics, Advances in Applied Probability, Journal of Multivariate Analysis, Stochastic Processes and their Applications, Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal. He is currently serving as an associate editor for Insurance: Mathematics and Economics and an associate editor for Statistical Theory and Related Fields.
肖争艳，中国人民大学统计学院教授，风险管理与精算系系主任，中国工业与应用数学学会保险精算方向青年委员，主要研究方向为风险管理、金融计量、非寿险精算和巨灾风险管理等，在《经济研究》、《金融研究》和《统计研究》等学术期刊发表论文30余篇，出版4本专著和教材，主持多项国家和省部级课题。
