教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
精算论坛讲座第128期-杨静平、嵇少林(1月25日)
报告一：
报告题目：Worst Scenarios RVaR with Partial Information
报告时间：2018年1月25日 下午14:00—15:00
报告人：杨静平教授 (北京大学)
杨静平，北京大学数学科学学院教授，博士生导师。现任中国工业与应用数学学会第七届理事会理事，数量经济与数理金融教育部重点实验室（北京大学）副主任。研究兴趣为金融和保险中的风险相依性、信用风险管理、债券组合模型和信贷资产证券化等。在金融数学期刊Finance and Stochastics, SIAM Journal on Financial Mathematics,Journal of Computational Finance, 精算学期刊Astin Bulletin,Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, NorthAmerican Actuarial Journal以及概率论期刊Bernoulli等发表了多篇学术论文。主持完成了多项国家自然科学基金项目；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以及信贷资产证券化等方面的应用课题。
摘要：
In this talk, we will introduce our recent results onworst-case scenarios of the Range Value-at-Risk (RVaR), in single and aggregaterisk models with given mean and variance, as well as symmetry and/orunimodality of each risk. For different types of partial information settings,sharp bounds for RVaR are obtained for single and aggregate risk models,together with the corresponding worst-case scenarios of marginal risks and thecorresponding copula functions (dependence structure) among them. Differentfrom the existing literature, the sharp bounds under different partialinformation settings are obtained via a unified method combining convex orderand the recently developed notion of joint mixability. As particular cases,bounds for Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) are derived directly.Numerical examples are also provided to illustrate our results. It is a jointwork with Lujun Li, Hui Shao and Ruodu Wang.
报告二：
报告题目：Continuoustime mean-variance portfolio selection with nonlinear wealth equations andrandom coefficients
报告时间：2018年1月25日下午15:00—16:00
报告人：嵇少林教授（山东大学）
Prof. Shaolin Jiis a professor at Shandong University. He received his Ph.D. degree in 1999.Research areas: financial mathematics, stochastic control and nonlinearexpectations theory. In recent years, Professor Shaolin Ji has published aseries of achievements in the Review of Financial Studies, Probability Theoryand the Related Fields, and SIAM Control and Optimization. The problems studiedinclude asset pricing under uncertain models, Neyman-Pearson lemma undernonlinear expectations, and BSDE driven by G-Brownian motion.
摘要：
This presentation concerns the continuous timemean-variance portfolio selection problem with a special nonlinear wealthequation. This nonlinear wealth equation has nonsmooth random coefficients andthe dual method developed in Ji(2010) does not work. To apply the completion ofsquares technique, we introduce two Riccati equations to cope with the positiveand negative part of the wealth process separately. We obtain the efficientportfolio strategy and efficient frontier for this problem. Finally, we findthe appropriate sub-derivative in Ji(2010) using convex duality method. This isa joint work with Hanqing Jin and Xiaomin Shi.
报告地点：中央财经大学学术会堂南楼506（精算院会议室）
欢迎各位老师和同学积极参加！
