报告时间：2023年4月20日

               上午10:00-11:00

报告地点：中国人民大学明德主楼1016

                （腾讯会议ID：748-109-666）

报告嘉宾：杨静平

报告主题：Multivariate Bernstein Fréchet Copulas

报告摘要

Multivariate Bernstein Fréchet Copulas

Finding joint copulas based on given bivariate margins is an interesting problem. It involves in obtaining the copula from the information of its bivariate marginal distributions. In this paper, we present a multivariate copula family called multivariate Bernstein Fréchet (BF) copulas. Each copula in the family is uniquely determined by its bivariate margins, the bivariate BF copulas. For this purpose, we first discuss properties of the bivariate BF copulas, including supermigrativity and properties. The advantages of bivariate BF copula are identified by comparing it with the bivariate Gaussian copula and the bivariate Fréchet copula. We show that a multivariate BF copula is uniquely determined by its marginal bivariate BF copulas, and methods to construct the multivariate BF copula are discussed. Numerical studies are carried out for displaying the advantages of multivariate BF copulas.

个人简介

杨静平，北京大学数学科学学院教授，博士生导师。研究兴趣有金融和保险中的风险相依性、债券组合模型和信贷资产证券化等。在精算学的国际四大学术期刊、金融数学期刊《Finance and Stochastics》《SIAM Journal on Financial Mathematics》《Journal of Computational Finance》以及概率论期刊《Bernoulli》等发表了多篇学术论文。主持完成了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合、信贷资产证券化以及含权债估值模型等方面的金融业课题。