报告题目: Robustness of regulatory risk measures in aggregation and optimization

报告人: Ruodu Wang

（Assistant Professor of Actuarial Science, University of Waterloo, Canada）

摘要: In the past few years, there have been extensive debates on the desirability of regulatory risk measures in both academia and industry of finance and insurance. We discuss some progress in the recent research trend on the comparative advantages of Value-at-Risk (VaR) and Expected Shortfall (ES, or TVaR). In particular, we focus on robustness issues in the aggregation and the optimization of risks. As opposed to the classic notion that VaR is statistically more robust than ES, our research brings in some new insights and perspectives on advantages of ES in robust aggregation and optimization. This talk is based on joint work with Paul Embrechts (Zurich) and Bin Wang (Beijing), and some on-going research projects.

报告时间：2016年3月31日（周四）上午10:00-11:30

报告地点：中央财经大学中国精算研究院会议室506

欢迎各位老师同学参加！

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