报告题目： Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
报告人：Jun Cai (Department of Statistics and Actuarial Science, University of Waterloo)
Jun Cai is Professor of Actuarial Science in the Department of Statistics and Actuarial Science at the University of Waterloo. His main research interests are in the areas of actuarial mathematics, risk management for insurance and finance, and stochastic modelling in insurance and finance. His publications appear in different journals including Mathematical Finance, Journal of Risk and Insurance, Finance and Stochastics, Advances in Applied Probability, Journal of Multivariate Analysis, Stochastic Processes and their Applications, Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal. He is currently serving as an associate editor for Insurance: Mathematics and Economics and an associate editor for Statistical Theory and Related Fields.
摘要：When allocating a given total capital among main business lines and their sub-business lines, a decision maker will face both capital shortfall risk and capital surplus risk for each business line. There is a trade-off between the two kinds of risks. To balance such two kinds of risks in main business lines and their sub-business lines, we propose a capital allocation model considering both capital shortfall risks and capital surplus risks in a hierarchical corporate structure. We derive optimal allocation principles as solutions that minimize a general loss function that balances the shortfall and surplus risks. As applications of the proposed model, a general proportional allocation principle in the presence of a hierarchical corporate structure is derived. It is illustrated that the general proportional allocation can be viewed as the unique solution minimizing a specified loss function in the proposed model. Connections between this proposed model and some risk factors, such as dependence, extreme events, exogenous risks, and risk measures, are discussed. All the main results of Dhaene et al. (2012), Belles-Sampera et al. (2014b), and Zaks and Tsanakas (2014) are the special cases of this proposed model. Some restrictive assumptions used by Dhaene et al. (2012), Belles-Sampera et al. (2014b), and Zaks and Tsanakas (2014), are removed as well. This talk is based on a joint work with Ying Wang at ECNU.
报告地点：腾讯会议（会议ID：192 154 323）