Speaker: Hu Yijun, Professor, School of Mathematics and Statistics, Wuhan University

Date: November. 15, 2021

Time: 15:00-16:00

Location: Tencent Meeting, ID: 271 744 043

Sponsor: School of Mathematics, Shandong University

Abstract:

In this talk, we will introduce two new classes of multivariate risk measures, which are referred to as multivariate copula-dependent distortion risk measures. We define and axiomatically characterize the class of multivariate scalarcopula-dependent distortion risk measures through the tool of multivariate Choquet integral. As aby-product, this characterization can also be regarded as a multivariate extension of the univariate Greco's Representation Theorem. Furthermore, based on the representations for the multivariate scalar copula-dependent distortion risk measures, we will introduce the class of multivariate vector-valued copula-dependent distortion risk measures, and their properties of copula-dependent monotonicity, translation invariance, positive homogeneity and pi-comonotone additivity are shown. Finally, we present several examples, among which one example introduces a new class of vector-valued risk measures, while the others demonstrate the comparisons of the introduced multivariate vector-valued distortion risk measures with those vector-valued risk measures known as in the literature.

This talk is based on joint work with Suo Gong and Linxiao Wei.

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/159048.htm