题目：Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

嘉宾：蔡军 教授（加拿大滑铁卢大学统计与精算科学系）

时间：2015年6月24日4:00-5:020

地点：管理科研楼10楼1018会议室

单位：管理学院统计与金融系、安徽省金融信息重点实验室

摘要：
We propose new risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers. We show that the proposed risk measures satisfy many desired properties such as monotonicity, translation-invariance, positive homogeneity, subadditivity, nonnegative loading, stop-loss order preserving, and so on. These new risk measures generalize the Dutch risk measure, the TVaR, and the expectile, and they provide new ways to generate feasible and practical coherent risk measures. In addition, we discuss the robustness of the TVaR-type generalized expectile, proposed in this paper, with respect to the Wasserstein distance, and derive the asymptotic forms of the TVaR-type generalized expectile for regularly varying risks when the loading factor of the generalized expectile is sufficiently large or the confidence levels of the TVaRs approach to one. These robust and asymptotic results recover the corresponding ones for the classical expectile. This talk is based joint works with Tiantian Mao.