Time：2020/12/16 10:00
Form：Tencent Meeting

Topic：A multivariate CVaR risk measure from the perspective of systemic risk management

Abstract:

In this talk, we introduce  a new multivariate conditional value at risk (MCVaR) risk measure.  This MCVaR considers both individual risks and the aggregate risk of a portfolio, but prioritizes the aggregate risk. This new MCVaR risk measure is based on a multivariate loss function, which considers the systemic risks faced by a decision maker when the decision maker needs to determine required capitals or premiums for a risk portfolio. The systemic risks consist of shortfall and surplus risks from all individual risks and the aggregate risk in a portfolio, and the overall deviation risk of a portfolio. It is showed that this MCVaR risk measure holds the properties of positive homogeneity, translation invariance, subadditivity, and monotonicity under certain conditions. Numerical examples of this MCVaR risk measure are presented to illustrate the effect of dependence among individual risks on the MCVaR. This talk is based on a joint work with Huameng Jia  and Tiantian Mao.

Resume:

Jun Cai is Professor of Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo. His research interests include dependence modelling, optimization problems in insurance and finance, risk management for insurance and finance, risk management with model uncertainty. His publications appear in different journals including  Mathematical Finance, Journal of Risk and Insurance, Finance and Stochastics, Advances in Applied Probability, Journal of Multivariate Analysis, Stochastic Processes and their Applications, Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal.  He is currently serving as an associate editor for Insurance: Mathematics and Economics and an associate editor for Statistical Theory and Related Fields.