报告时间：4月26日 星期三 晚上18:30-19:30

报告地点：腾讯会议 426-237-479

报告摘要： Following recent studies of systemic risk in banking, finance, and insurance, we quantify systemic expected shortfall (SES) and marginal expected shortfall (MES) in a general context of quantitative risk management and link them to a confidence level. For this purpose, we consider a system comprising multiple individuals (sub-portfolios, lines of business, or entities) whose loss-profit variables are modeled by randomly weighted random variables so that both their tail behavior and the interdependence among them are captured. For the case of heavy-tailed losses, we derive general asymptotic formulas for the SES and MES as  . If restricted to the special case in which the losses have equivalent regularly varying tails, the obtained formulas are further simplified and explicitized into the value at risk of a representing random variable. Numerical studies are conducted to examine the performance of these asymptotic formulas.

报告人简介：

刘佳骏，西交利物浦大学金融数学与精算数学系助理教授，博士生导师。2016年获得英国利物浦大学数学科学博士。他的主要研究方向包括保险与金融风险的互交，量化风险管理，以及极值理论在保险、金融和风险管理中的应用。研究成果主要发表在期刊ASTIN Bulletin, Insurance: Mathematics and Economics, European Actuarial Journal, Stochastic Models等。现主持国家国家自然科学青年项目一项及江苏省高校自然科学研究面上项目一项。参与国家自然科学面上项目一项。