报告题目：The Principle of a Single Big Jump from the perspective of Tail Moment Risk Measure
时 间：2025年6月6日（星期五）11:00
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：Consider a financial or insurance system with a finite number of individual components. The famous principle of a single big jump (PSBJ) says that a system crisis occurs mainly due to a single but unusually large loss from some individual component. The characterization and study for this principle have always been a popular topic in risk theory. Most of literatures modeled the PSBJ through the tail probabilities of the largest risk and the total risk of the system. Different from the existing works, this paper is devoted to explore the PSBJ from a new perspective. We aim to establish the PSBJ based on a kind of risk measure defined via the tail moments of the related risks. Our study is conducted under the framework in which the individual risks are pairwise asymptotically independent and have the distributions from the Fréchet or Gumbel max-domain of attraction. The asymptotic behavior of the tail mixed moments is also discussed in detail. The results obtained are applied to an optimal capital allocation problem based on a tail mean-variance model.
报告人简介：李津竹，南开大学数学科学学院教授，博士生导师，主要从事随机过程及其在金融保险中的应用研究，目前主持国家自然科学基金面上项目1项，在《Adv. in Appl. Probab.》、《Bernoulli》、《Insurance Math. Econom.》、《Scand. Actuar. J.》、《Astin Bull.》等主流期刊发表学术论文30余篇。