龙马奋进 · 校庆70周年学术系列讲座
精算论坛讲座 第168期—Peng Liu (12月17日)
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168期
(2019年12月17日)
报告题目：Distributional transforms, probability distortions and their applications
报告人：Peng Liu
刘鹏，加拿大滑铁卢大学统计与精算系，博士后，于 2015 年在南开大学数学学院取得博士学位。 2013.09-2015.09在瑞士洛桑大学精算系访问，2015.10-2016.06 在波兰弗罗斯瓦夫大学数学院访问，2016.07-2018.09 在洛桑大学精算系做博士后，2018.10- 现在在加拿大滑铁卢大学做博士后。目前主要研究方向为极值理论，风险测度和风险管理。已发在Stochastic processes and their applications, Advances in applied probability, Journal of theoretical probability, Extremes and Queueing systems等国际期刊发表学术论文18篇。
摘要：
In this talk we provide a general mathematical framework for distributional transforms, which allows for many examples that are used extensively in the literature of finance, economics and optimization. We put a special focus on the class of probability distortions, which is a fundamental tool in decision theory. As our main results, we characterize distributional transforms satisfying various properties and this includes an equivalent set of conditions which forces a distributional transform to be a probability distortion. As the first application, we construct new risk measures using distributional transforms. Sufficient and necessary conditions are given to ensure the convexity or coherence of the generated risk measures. In the second application, we introduce a new method for sensitivity analysis of risk measures based on composition groups of probability distortions. Finally, we construct probability distortions describing a change of measures with an example in option pricing.
报告时间：2019年12月17日 14:00--15:00
报告地点：学术会堂南楼506中国精算研究院会议室
邀请人：周明
欢迎各位老师和同学积极参加！
