题目: Tail subadditivity of distortion risk measures with applications in portfolio risk management

报告人: Professor Jun Cai, University of Waterloo, Canada

摘要: We generalize the concept (Belles et al, 2014) of tail subadditivity for distortion risk measures and give sufficient and necessary conditions for

a distortion risk measure to be tail subadditive. We also introduce the generalized tail subadditive GlueVaR risk measures, which can be used to approach

any coherent distortion risk measure. To further illustrate the applications of the tail subadditivity, we propose a tail distortion principle for decision makers to

determine the required solvency capitals or for insurers to calculate insurance premiums for a portfolio of risks. The tail distortion principle depends both on extreme

tail events and on the dependence of the risks in a portfolio. (The talk is based on joint works with Ying Wang)

时间：2016年6月30日（星期四）上午10:00—11:00

地点：学术会堂506精算研究院会议室

欢迎各位老师同学参加

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