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bat365在线平台、所2020年系列学术活动(第88场):杨静平教授 北京大学

发表于: 2020-06-22   点击: 

报告题目: Stochastic distortion and its transformed copula

报 告 人: 杨静平 教授 北京大学

报告时间: 2020年6月29日 9:00-10:00

报告地点: 腾讯会议ID:747 758 212

会议链接: https://meeting.tencent.com/s/WDLitfo8N5fu

校内联系人:韩月才 hanyc@jlu.edu.cn


报告摘要:

Motivated by wide applications of distortion functions and copulas in insurance and finance, we generalize the notion of a deterministic distortion function to a stochastic distortion, i.e., a random process, and employ the defined stochastic distortion to construct a so-called transformed copula by stochastic distortions. One method for constructing stochastic distortions is provided with a focus on using time-changed processes. After giving some families of the transformed copulas by stochastic distortions, a particular class of transformed copulas is applied to a portfolio credit risk model, where a numeric study shows the advantage of using the transformed copulas over the conventional Gaussian copula and the double t copula in terms of the fitting accuracy and the ability of catching tail dependence. It is a joint work with Feng Lin, Liang Peng and Jiehua Xie.


报告人简介:

杨静平,北京大学数学科学学院教授,博士生导师。现任数量经济与数理金融教育部重点实验室(北京大学)副主任,中国工业与应用数学学会第七届理事会理事。 研究兴趣有金融和保险中的风险相依性、债券组合模型和信贷资产证券化等。在金融数学期刊Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学国际四大学术期刊以及概率论期刊Bernoulli和数学期刊Fuzzy Sets and Systems等发表了多篇学术论文。主持完成了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合、信贷资产证券化以及含权债估值模型等方面的应用课题。