数学讲坛-唐启鹤教授和池义春研究员
发布于:2017-07-12 09:28:13   |   作者:[学院] 数学学院   |   浏览次数:982

报告时间:714 10:00-11:00

报告地点:清水河校区主楼A1-512

报告一:

报告题目:Limit Theorems for Credit Portfolio Losses

报告人:Qihe Tang(唐启鹤)

 

Abstract

Consider a portfolio of multiple obligors subject to possible default. We propose

a static structural model for the credit portfolio loss due to default by taking into

account the severity of default. Denote by Ln(p) the credit portfolio loss, where n 2 N

denotes the portfolio size and 0 < p < 1 is a given default probability. We establish

limit theorems for Ln(p) for the following three scenarios:

_ p↓0 but n is _xed, meaning a small portfolio of excellent credit quality;

_ n↑1 but p is _xed, meaning a large portfolio of fair credit quality;

_ both p↓0 and n↑∞but subject to a certain linkage, meaning a medium

portfolio of good credit quality.

 

Short Bio (written in third person)

Qihe Tang earned his Ph.D. in statistics from the University of Science and Technology of China in 2001. Since then he has worked at different places in the world including the University of Hong Kong (2001), the University of Amsterdam (2002-2004), Concordia University (2004-2005),and the University of Iowa (2006-present). He currently holds Full Professor positions at both the University of Iowa and the University of New South Wales.  He was conferred the F. Wendell Miller endowed professorshipat the University of Iowa in July 2014in honor of his scholarly work and professional contributions.

Qihe Tang’s expertise centers on extreme value theory for insurance, finance, and quantitative risk management.  He has been working on various topics recently arising from the interdisciplinary area of insurance, finance, probability, and statisticssuch as (1) limit theorems for large portfolio losses, (2) interplay of insurance and financial risks, and (3) modeling, measuring, and managing catastrophe risks in insurance and finance.As of today, Google Scholar shows that his works have received 3,807 citations, resulting in an h-index of 36.His research has been constantly supported by external grants.

Qihe Tang has recently been elected as an editor for Insurance: Mathematics and Economics.  Meanwhile he is an associate editor for several other journals including TEST, Applied Stochastic Models in Business and Industry, and Statistics & Probability Letters.  He has graduated a number of doctoral students who are now university professors all over the world.

 

报告时间:714 11:00-12:00

报告地点:清水河校区主楼A1-512

报告二:

报告题目: Optimal Insurance under Mean-variance Premium Principles

报告人:池义春

报告人简介:

池义春,中央财经大学中国精算研究院研究员。2009年在北京大学数学科学学院金融数学系获得博士学位。主要研究兴趣为精算学和风险管理中的风险理论、最优保险/再保险设计以及变额年金的定价和对冲等。在国际著名的精算学期刊ASTIN Bulletin、Insurance: Mathematics and Economics、North American Actuarial Journal和Scandinavian Actuarial Journal发表了十多篇学术论文。主持过两项国家自然科学基金项目。2012年荣获北美产险精算学会Hachemeister奖,2015 年破格晋升为研究员。

报告摘要:In this talk, the design of an optimal insurance policy is discussed from the perspective ofa risk-averse insured who would like to maximize the expected utility of the final wealth. We assume that the admissible insurance contract satisfies the principle of indemnity and that the upper limits on the first two moments ofcoverage are imposed by an insurer to restrict its risk exposure and completely determine thequantity of the insurance premium. We derive the optimal insurance policy explicitly, and findthat it heavily depends upon the values of the upper limits and the insured’sinitial wealth.If the insurance contract further meets a condition that the marginal indemnity above a deductible minimum is decreasing in the loss and has a value greater than zero and less than one, we show that for a risk-averse and prudent insured such a contract is suboptimal to a change-loss insurance policy or a dual change-loss insurance policy, depending upon the coefficient of variation of the ceded loss. Especially for variance related premium principles, the change-loss insurance is optimal.