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学术会议:2017年金融与保险学术研讨会

发布时间:2017年11月30日 浏览次数:发布者:lzhx

会议名称:2017年金融与保险学术研讨会

会议时间:12月3日;

会议地点:海韵园实验楼105报告厅

会议日程安排

上午

主持人:明瑞星

09:00-09:30

刘艳

武汉大学

Uniform   Estimate for Randomly Weighted Sums of Dependent Sub-exponential Random   Variables

09:30-10:00

明瑞星

浙江工商大学

Geometric   shrinkage estimate for covariance matrix

10:00-10:20

 休息

10:20-10:50

刘章

江西农业大学

Distribution   of the Present Value of Dividend Payments with Draw-down Times for Spectrally   Negative Levy Processes

10:50-11:20

肖立群

广州大学

Joint modeling of longitudinal and survival data with a cure   faction based on generalized hyperbolic distribution

11:20-11:50

孙飞

武汉大学

Set-valued cash sub-additive   risk measures

下午

 

主持人:刘艳

13:30-14:00

郭盛亮

武汉大学

Modelling and analysis of a   Lotka-Volterra competition system perturbed by white noises

14:00-14:30

曹静

中南民族大学

Optimal   time-consistent investment and reinsurance strategy for mean-variance insurers   under the inside information

14:30-14:50

休息

15:50-16:20

丰羽

武汉大学

Set-valued weighted value at risk and its computation

16:20-16:50

陈燕红

武汉大学

Coherent and convex loss-based risk measures for portfolio vectors

15:50-16:20

王文元

厦门大学

Optimal investment and risk control for an insurer under inside   information






学术报告题目与摘要

1. 报告人:刘艳,武汉大学

题目:Uniform Estimate for Randomly Weighted Sums of Dependent Sub-exponential Random Variables

摘要:This talk will focus on the uniform tail asymptotics of the maximum of randomly weighted sum  with respective to , in which the primary random variables  are real valued, dependent, and have different subexponential distributions, while the random weights  are nonnegative and arbitrarily dependent, but independent of . An application to insurance risk model with investment portfolio is proposed.

2. 报告人:明瑞星,浙江工商大学

题目:Geometric shrinkage estimate for covariance matrix

摘要:Many applications require an estimate for the covariance matrix. When the dimensionality of the population is larger than the observes the sample covariance matrix is singular. The common approaches , such as banding, tapering, thresholding the sample covariance matrix, are proposed to get a well-conditioned estimator. Recently, Ledoit and Wolf proposed a Stein type shrinkage estimator, which is an average between the sample covariance matrix and the target matrix. However, when the eigenvalues of the covariance matrix are decentralized the Stein type shrinkage estimator ferforms poor. In this talk we propose a geometric type shrinkage estimate approach to estimate the covariance matrix.  The simulation reports show that the geometric type shrinkage estimate performs very well.

 

3. 报告人:肖立群,广州大学

题目:Joint modeling of longitudinal and survival data with a cure faction based on generalized hyperbolic distribution

摘要:It has long been known that joint models are used to analysis longitudinal and survival outcomes in cancer clinical studies. Because it may provide more efficient estimates as these two type of data are often associated in some ways. In this talk, we propose a new joint model for longitudinal measurements and survival times with a cure fraction based on generalized Hyperbolic (GH) distributions. The GH distribution includes and generalizes the familiar Gaussian and student t distributions, and among many other distributions, that can better accommodate extreme observations. An EM algorithm is developed to estimate the parameters of the proposed joint model when a nonparametric baseline function is assumed, and the variance estimates for the estimated parameters are obtained from the observed information matrix.

4. 报告人:曹静,中南民族大学

题目:Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information

摘要:We consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposal concerning the future realizations of her claims process. It is assumed that the surplus of the insurer is governed by a Brownian motion with drift, and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets. We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations. Then, the closed-form expression is obtained for the optimal strategy of the optimization problem.

5. 报告人:刘章,江西农业大学

题目:Distribution of the Present Value of Dividend Payments with Draw-down Times for Spectrally Negative Levy Processes

摘要:For spectrally negative Levy processes with a dividend barrier and a general draw-down time from the running maximum, we show the distribution of the present value of dividends until the drawdown time in terms of scale function, which generalizes some results of Renaud and Zhou (2007). We also find the expressions of its Laplace transform. Finally, some explicit examples are given to illustrate our results.

 

6. 报告人:孙飞,武汉大学

题目:Set-valued cash sub-additive risk measures

摘要:In this paper, we introduce a new class of set-valued risk measures which satisfies cash sub-additivity. Dual representation for them is provided. Moreover, we also investigate dynamic set-valued cash sub-additive risk measures and discuss the multi-portfolio time consistency. The equivalent characterization of the multi-portfolio time consistency is given. Finally, an example is also given to illustrate the introduction of set-valued sub-additive risk measures. The present paper can be considered as a set-valued extension of scalar cash sub-additive risk measures introduced by El Karoui (2009).

 

 7. 报告人:郭盛亮,武汉大学

题目:Modelling and analysis of a Lotka-Volterra competition system perturbed by white noises

摘要:In this paper, we mainly attempt to model and analysis an Lotka-Volterra competition system perturbed by white noises. We firstly prove the existence and uniqueness of globally positive solution. Then by taking full advantage of the theory of stochastic differential equations, the sufficient conditions for stochastic permanence, weak persistence and extinction are obtained respectively. And we also show that the competition system with white noises is asymptotic stability in distribution under some appropriate assumptions. Finally, several numerical simulations are presented to justify the analytical results.

 

8. 报告人:丰羽,武汉大学

题目:Set-valued weighted value at risk and its computation

摘要:In this paper, we propose a new set-valued coherent risk measure which is called the set-valued weighted value at risk. The first ``regulator" version is independent from any market model whereas the second version, called the market extension, takes trading opportunities into account. Properties of both versions are proven and equivalent representation are provided which enable one to compute the values of both versions of set-valued weighted value at risk. Finally, comparison with the existed set-valued average value at risk is provided. Examples are given to illustrate the theoretical constructions of set-valued weighted value at risk.

 

9. 报告人:陈燕红,武汉大学

题目:Coherent and convex loss-based risk measures for portfolio vectors

摘要:In this paper, we introduce two new classes of risk measures, named coherent  and convex loss-based  risk measures for portfolio vectors. These new risk measures can be considered as a multivariate  extension of univariate  loss-based risk measures introduced by Cont, Deguest and He (2013). Representation results for these new introduced risk measures are provided.  The links between convex loss-based risk measures for portfolios and convex risk measures for portfolios introduced by Burgert and R\"{u}schendorf (2006) or Wei and Hu (2014) are stated. Finally, applications to the multi-period  coherent and convex loss-based  risk measures are addressed.

 

10. 报告人:王文元,厦门大学

题目:Optimal investment and risk control for an insurer under inside information

摘要:This paper is devoted to the study of the optimal investment and risk control strategy for an insurer who has some inside information on the financial market and the insurance business. The insurer’s risk process and the risky asset process in the financial market are assumed to be very general jump diffusion processes. The two processes are supposed to be correlated. Under the criterion of logarithmic utility maximization of the terminal wealth, we solve our problem by using forward integral approach. Some interesting particular cases are studied in which the explicit expressions of the optimal strategy are derived by using enlargement of filtration techniques.


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