题目：Tail subadditivity of distortion risk measures with applications in portfolio risk management

嘉宾：蔡军 教授（加拿大滑铁卢大学统计与精算科学系）

时间：2016年6月17日（周五）下午4:30

地点：管理科研楼EMBA第五教室

主办：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 generalize the concept (Belles et al, 2014) of tail subadditivity for distortion risk measures and give sufficient and necessary conditions for a distortion risk measure to be tail subadditive. We also introduce the generalized tail subadditive GlueVaR risk measures, which can be used to approach any coherent risk measure. To further illustrate the applications of the tail subadditivity, we propose a tail distortion principle for decision makers to determine  the required solvency capitals or for insurers to calculate insurance premiums for a portfolio of risks. The tail distortion principle depends both on extreme tail events and on the dependence of the risks in  a portfolio. (The talk is based on joint works with Ying Wang.)