巨灾风险方向学术活动

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

讲座题目：Asymptotic equivalence of risk measures under dependence uncertainty

摘要：In this talk, we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures are asymptotically equivalent if the ratio of the worst-case values of the two risk measures is almost one for the sum of a large number of risks with unknown dependence structure. The study of asymptotic equivalence is particularly important for a pair of a non-coherent risk measure and a coherent risk measure, as the worst-case value of a non-coherent risk measure under dependence uncertainty is typically difficult to obtain. We establish general asymptotic equivalence results for the classes of distortion risk measures and convex risk measures under different mild conditions. The results implicitly suggest that it is only reasonable to implement a coherent risk measure for the aggregation of a large number of risks with uncertainty in the dependence structure, a relevant situation for risk management practice.

This talk is based on joint work with Prof. Jun Cai and Prof. Ruodu Wang.

主讲人：刘海燕 Assistant Professor，

Department of Mathematics, Department of Statistics and Probability

Michigan State University

时间：2017年9月12日 下午3:00—4:00

地点：学术会堂南楼506 (精算研究院会议室)

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