时 间：2023 年9月21日 9:00-11:00
地 点：普陀校区理科大楼A1514
报告人：王若度 加拿大滑铁卢大学 教授
主持人：李丹萍 华东师范大学 副教授
摘 要：
Dr. Ruodu Wang is Professor of Actuarial Science and Quantitative Finance at the University of Waterloo, and he currently holds Canada Research Chair (Tier 1) in Quantitative Risk Management. He received his PhD in Mathematics (2012) from the Georgia Institute of Technology, after completing his Bachelor (2006) and Master’s (2009) degrees at Peking University. He holds editorial positions in leading journals in actuarial science, operations research and mathematical economics, including Co-Editor of the European Actuarial Journal, and Co-Editor of ASTIN Bulletin - The Journal of the International Actuarial Association. He is an affiliated member of RiskLab at ETH Zurich. Among other international awards and recognitions, he is the inaugural winner of the SOA Actuarial Science Early Career Award (2021) from the Society of Actuaries, and a Fellow of the Institute of Mathematical Statistics (elected 2022).
报告人简介：
We establish the first axiomatic theory for diversification indices using six intuitive axioms -- non-negativity, location invariance, scale invariance, rationality, normalization, and continuity -- together with risk measures. The unique class of indices satisfying these axioms, called the diversification quotients (DQs), are defined based on a parametric family of risk measures. DQ has many attractive properties, and it can address several theoretical and practical limitations of existing indices. In particular, for the popular risk measures Value-at-Risk and Expected Shortfall, DQ admits simple formulas, it is efficient to optimize in portfolio selection, and it can properly capture tail heaviness and common shocks which are neglected by traditional diversification indices. When illustrated with financial data, DQ is intuitive to interpret, and its performance is competitive against other diversification indices.