1. 报告题目：Arrow-Debreu Equilibria for Rank-Dependent Utilities with Heterogeneous Probability Weighting
报告人: 夏建明教授(中国科学院)
摘要：We study Arrow--Debreu equilibria for a one-period-two-date pure exchange economy with rank-dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank-dependent utility ones. While preferences of agents are generally not convex in their future consumption %underlying economy is non-convex due to the probability weighting, we exploit their hidden convexity by considering the quantile function of the future consumption. Accordingly, we introduce the notion of comonotone Pareto optima, and derive their characterizing conditions. Finally, with the aid of the auxiliary problem of price equilibria with transfers, we provide sufficient conditions in terms of the model primitives under which an Arrow--Debreu equilibrium exists, along with the explicit expression of the state-price density in equilibrium. （A joint work with Hanqing Jin and Xun Yu Zhou)
2. 报告题目: Distorted Mix Method for Constructing Copulas with Tail Dependence
摘要: We will introduce a method for constructing copula functions by combining the ideas of distortion and convex sum, named Distorted Mix Method. The method mixes different copulas with distorted margins to construct new copula functions, and it enables us to model the dependence structure of risks by handling central and tail parts separately. By applying the method we can modify the tail dependence of a given copula to any desired level measured by tail dependence function and tail dependence coefficients of marginal distributions. As an application, a tight bound for asymptotic Value-at-Risk of order statistics is obtained by using the method. An empirical study shows that copulas constructed by this method fit the empirical data of SPX 500 Index and FTSE 100 Index very well in both central and tail parts. （It is a joint work with Lujun Li and K. C. Yuen.）
时间: 12月30日（星期五）上午10: 00-12：00
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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