报告题目：Risk measures based on the behavioral economic theory

主讲人：毛甜甜

中国科技大学管理学院统计与金融系

摘要：

Coherent risk measures and convex risk measures characterize the desired axioms for risk measures. However, concrete or practical risk measures could be proposed from different perspectives. In this paper, we propose new risk measures based on the behavioural economics theory. We use the rank-dependent expected utility (RDEU) theory to formulate an objective function and propose the smallest solution that minimizes the objective function as a risk measure. We also employ the cumulative prospect theory (CPT) to introduce a set of acceptable regulatory capitals and define the infimum of the set as a risk measure. We show that the classes of risk measures derived from the RDEU theory and the CPT are equivalent and they are all monetary risk measures. We present the properties of the proposed risk measures and give the sufficient and necessary conditions for them to be coherent and convex, respectively. We also provide the consistent non-parametric estimators for the proposed risk measures. The risk measures based on these behavioural economics theories not only cover important risk measures such as distortion risk measures, expectiles, and shortfall risk measures, but also produce other new interesting coherent risk measures and convex but not coherent risk measures. This is based on a joint work with Prof. Jun Cai (University of Waterloo).

时间: 4月11日（星期二）上午10: 30-11：30

地点： 中央财经大学中国精算研究院会议室(学术会堂南楼506)

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