题目：Risk measures with applications in optimal investment portfolio selections for safety-first investors

报告人：Jun Cai 教授（滑铁卢大学统计与精算系）

时间：2018年10月31日（周三）下午13：30

地点：博识楼434会议室

报告摘要：In this talk, we review the new risk measures recently developed for controlling downside risks and from behavioral economics theory. We present the applications of the new risk measures in optimal investment portfolio selections for safety-first investors. We use the real data from the New York Stock Exchange (NYSE) to show that the new risk measures can effectively control downside risks of investment portfolios and perform better than the classical risk measures such as TVaR in a volatile market. This talk is based on joint works with Tiantian Mao and Maochao Xu.

报告人简介：Jun Cai，男，博士，教授，博士生导师。1998年毕业于加拿大Concordia University，获得精算数学博士学位。现任加拿大滑铁卢大学统计与精算学系教授。Jun Cai教授目前的研究领域包括精算科学、保险数学、数理金融、保险和金融风险管理、风险理论、相依模型和最优再保险等。Jun Cai教授担任《Insurance: Mathematics and Economics》及《Statistical Theory and Related Fields》副主编，并是杂志《International Journal of Statistics and Systems》，《International Journal of Pure and Applied Mathematical Sciences》的编委会成员。已经在《Mathematical Finance》、《Finance and Stochastics》、《Journal of Risk and Insurance》、《Insurance: Mathematics and Economics》、《Scandinavian Actuarial Journal》、《Journal of Multivariate Analysis》、《Advances in Applied Probability》、《North American Actuarial Journal》、《ASTIN Bulletin》、《Stochastic Processes and their Applications》、《Annals of Operations Research》、《IEEE Transactions on Reliability》等精算学、概率统计、金融工程类国际权威期刊上发表论文近六十篇。自2002年至今连续四次主持NSERC Individual Research Grant （加拿大自然和工程科学基金项目），主持Canada Foundation for Innovation (CFI)和Ontario Innovation Trust项目各一项。