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唐启鹤教授系列学术报告

  发布日期:2017-07-08  浏览量:400


: 唐启鹤教授(美国爱荷华大学F. Wendell Miller冠名讲席教授和澳大利亚新南威尔士大学特聘教授)

报告题目一: Interplay of Insurance and Financial Risks

报告时间: 2017711(周二)  15:30-16:30

报告地点: 磬苑校区澳门赌搏网站大全H306

报告摘要:Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risks, called insurance risk and financial risk. Its wealth process is described in a standard discrete-time model in which, during each period, the insurance risk is quantified as a real-valued random variable equal to the total amount of claims less premiums, and the financial risk as a positive random variable equal to the reciprocal of the stochastic accumulation factor. This risk model builds an efficient platform for investigating the interplay of the two risks. In this talk, I shall focus on the asymptotic behavior of the ruin probability for heavy-tailed and dependent insurance and financial risks. It is a summary of my long-term research on this topic since my graduate studies.

报告题目二: Limit Theorems for Credit Portfolio Losses

报告时间: 2017711(周二)  16:40-17:40

报告地点: 磬苑校区澳门赌搏网站大全H306

报告摘要: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 is the portfolio size and 0 < p < 1 is a given default probability. We establish limit theorems for Ln(p) for the following three scenarios:

l  p0 but n is fixed, meaning a small portfolio of excellent credit quality;

l  ninfinity but p is fixed, meaning a large portfolio of fair credit quality;

l  both p0 and ninfinity but subject to a certain linkage, meaning a medium portfolio of good credit quality.

报告题目三: Pricing Catastrophe Bonds

报告时间: 2017712(周三)  10:20-11:20

报告地点: 磬苑校区澳门赌搏网站大全H306

报告摘要:The prevalence of Black-Swan events accompanied by disastrous economic and social consequences has made today's world far different from just decades ago. It intensifies the urgent need for a quantitative understanding of underlying extreme risks in the insurance and financial industry. This talk overviews challenges that extreme risks bring to academics, practitioners and regulators, and introduces extreme value theory (EVT) as a tool to deal with extreme risks.

欢迎各位老师、同学届时前往!

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专家概况:

唐启鹤教授1996-1998年在澳门新莆京娱乐网站数学系攻读硕士学位;1998-2001年在中国科学技术大学统计与金融系攻读博士学位;2002-2004年在荷兰University of Amsterdam计量经济系做博士后;2004-2005年在加拿大Concordia University数学与统计系任教;自2006年在美国University of Iowa(爱荷华大学)统计与精算系任教,并于2014年晋升为F. Wendell Miller冠名讲席教授;于2017年接受澳大利亚University of New South Wales(新南威尔士大学)特聘教授(Strategic Hires and Retention Pathways)。

唐启鹤教授长期从事极值理论的基础研究及其在金融与保险业量化风险管理的应用研究,例如大投资组合损失极限理论,保险和金融风险相互作用理论,保险和金融中的灾难风险的建模、度量和管理,等。迄今已发表学术论文近百篇,其中大部分发表在顶尖的应用概率杂志和顶尖的保险精算杂志。最近五年期间,唐教授主持多项美国国家级科研项目及国际项目,并于2016年依托中国人民大学主持国家自然科学基金海外及港澳学者合作研究基金1项。另外,唐教授刚刚受聘于保险精算界顶级杂志Insurance: Mathematics and Economics的主编,同时还担任TESTApplied Stochastic Models in Business and IndustryStatistics & Probability Letters副主编,RisksDependence Modeling的编委。唐启鹤教授引导了许多博士生,其中一些已晋升大学教授,分布世界各地。

 

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