报告题目：Optimal Risk Sharing for Lambda Value-at-Risk

报告所属学科：管理科学与工程

报告人：胡太忠（中国科学技术大学）

报告时间：2023年6月8日 9:00-10:30

报告地点：经管学院702会议室

报告摘要：

A new risk measure, the Lambda Value-at-Risk (VaR), was proposed from a theoretical point of view as a generalization of the ordinary VaR in the literature. Motivated by the recent developments in risk sharing problems for the VaR and other risk measures, we study the optimization of risk sharing for the Lambda VaR. Explicit formulas of the inf-convolution and Pareto-optimal allocations are obtained with respect to the left Lambda VaRs, the right Lambda VaRs, or a mixed collection of the left and right Lambda VaRs. The inf-convolution of Lambda VaRs constrained to comonotonic allocations is investigated. Explicit formulas for worst-case Lambda VaRs under model uncertainty induced by likelihood ratios and by Wasserstein metrics are also given. This is a joint work with Zichao Xia.

报告人简介：

胡太忠，中国科学技术大学管理学院教授，博士生导师。1994年于中国科大获概率论与数理统计专业博士学位，2001年晋升为教授，2004年入选教育部“新世纪优秀人才支持计划”，2014年获安徽省教学名师称号。研究领域包括精算理论、随机比较、统计相依、极值理论和可靠性数学等。现为国际期刊Insurance: Mathematics & Economics, Probability in the Engineering and Informational Sciences, Quality Technology & Quantitative Management 的副主编，Communications in Mathematics and Statistics和Dependence Modeling 的编委，《中国科学技术大学学报》学科主编；担任中国工业与应用数学“金融数学和工程专业委员会”副主任委员，中国现场统计研究会风险管理与精算分会副理事长。