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

精算论坛第246期讲座

(2024年5月24日)

题目：Diversification quotients: Quantifying diversification via risk measures

摘要：We establish the first axiomatic theory for diversification indices using six intuitive axioms: non-negativity, location invariance, scale invariance, rationality, normalization, and continuity. The unique class of indices satisfying these axioms, called the diversification quotients (DQs), are defined based on a parametric family of risk measures. A further axiom of portfolio convexity pins down DQ based on coherent risk measures. DQ has many attractive properties, and it can address several theoretical and practical limitations of existing indices. In particular, for the popular risk measures Value-at-Risk and Expected Shortfall, the corresponding DQ admits simple formulas and it is efficient to optimize in portfolio selection. Moreover, it can properly capture tail heaviness and common shocks, which are neglected by traditional diversification indices. When illustrated with financial data, DQ is intuitive to interpret, and its performance is competitive against other diversification indices.

报告人：Liyuan Lin

Liyuan Lin is a final-year Ph.D. candidate in Actuarial Science at the University of Waterloo. She received Bachelor's and Master’s degrees in Actuarial Science from the Central University of Finance and Economics in China. She will soon join Monash University as a senior lecturer. She is a recipient of the James C. Hickman Scholar Doctoral Stipend from the Society of Actuaries and the Sir EJ Prize from the Institute and Faculty of Actuaries. Her works has been published in premium actuarial science journals such as NAAJ, IME and MOR.

讲座时间：2024年5月24日（周五）上午10:30-11:30

报告地点：沙河13号楼209

邀 请 人：刘敬真