报告时间：2017年6月9日上午10点

报告地点：数计学院2号楼3楼中间报告厅

报告题目：Risk measures based on the behavioural economics theory

报告摘要: We propose new risk measures based on the behavioural economics theory. We use the rank-dependent expected utility (RDEU) theory to formulate an objective function and propose the smallest solution that minimizes the objective function as a risk measure. We also employ the cumulative prospect theory (CPT) to introduce a set of acceptable regulatory capitals and define the infimum of the set as a risk measure. We show that the classes of risk measures derived from the RDEU theory and the CPT are equivalent and they are all monetary risk measures.  We present the properties of the proposed risk measures and give the sufficient and necessary conditions for them to be coherent and convex, respectively. The risk measures based on these behavioural economics theories not only cover important risk measures such as distortion risk measures, expectiles, and shortfall risk measures, but also produce other new interesting coherent risk measures and convex but not coherent risk measures. This talk is based on joint works with Tiantian Mao.

Jun Cai教授简介

Jun Cai教授，加拿大肯考迪亚大学(Concordia University)精算学专业博士。现为加拿大滑铁卢大学 (University of Waterloo) 概率统计与精算学系终生教授, 博士生导师。他的主要研究方向包括:  应用概率, 最优保险精算与投资，最优再保险和风险管理。他曾任中央财经大学中国精算研究院 “教育部 海外名师” 教授以及上海财经大学统计与管理学院特聘教授，曾获加拿大精算师协会最杰出论文奖, 加拿大 创新基金会新机遇基金奖。蔡军教授现为精算学顶级国际期刊《保险--数学与经济》 (Insurance: Mathematics and Economics) 副主编。