报告题目：Random risk measures on the order statistics of correlated risks
时 间：2026年05月28日（星期四）9：30
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：The random risk measure has been studied for extending the traditional deterministic risk measure by reflecting the influence of available information. We investigate one type of random risk measures, named as the random risk measure based on the order statistics (RRM-OS). The RRM-OS of a risk is defined as a linear combination of order statistics from its observations, which are correlated with the dependency structure modeled by a copula. It is first shown that the RRM-OS of a risk can be represented as an integral of its quantile function with respect to a stochastic distortion, which is derived by a sample from the copula of observations. With a random axiomatic system, a random risk measure can be represented as the RRM-OS under some random axioms, and the connection between RRM-OS and copula method is established. Under the conditional independent structure for observations, some limit properties of RRM-OS are discussed. The numerical study reveals the differences between the conditional independent and independent structures. By focusing on the estimator of VaR, one type of RRM-OS, the empirical analysis shows that the estimator under the conditional independent assumption is more effective than that under the independent assumption. It is a joint work with Chenxi Xia and Xin Zang.
报告人简介：北京大学数学科学学院教授， 博士生导师， 国家二级教授。研究兴趣有金融和保险中的风险相依性、风险度量、信用风险管理以及资产支持证券等。在金融数学期刊Mathematical Finance, Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学期刊Insurance：Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American 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、信贷资产证券化以及含权债估值模型等金融行业的课题。完成《寿险精算基础》和《非寿险精算学》等教材。获2023年国家级教学成果二等奖（2/7）。