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Large-scale Detection of Differential Sparsity Structure with FDR Control

Time:Nov.29 (Tuesday),10:00-11:00Venue:Science Building A1514, Tencent Conference ID:992-165-109; Code:1309Speaker:Ren Haojie, Associate Professor, Shanghai Jiaotong UniversitySummary:Two-sample multiple testing has a wide range of applications. Most of the literature considers simultaneous tests of equality of parameters. This talk takes a different perspective and investigates the null hypotheses that the two support sets are equal. This formulation of the testing problem is motivated by the f[Detail]
Dec. 28 | Insurance Risk Analysis of Financial Networks

Time:Dec.28 (Monday),10:00-11:00Venue:Zoom Conference ID:233 971 563Speaker:Qihe Tang, Professor at School of Risk and Actuarial Studies, UNSW Business SchoolSummary:We conduct a quantitative risk analysis of non-core insurance business of selling protection to financial firms against investment losses due to a shock. A static structural model is constructed, composed of a network of firms who cross-hold each other, multiple primitive assets that are vulnerable to a shock, and an insurer who res[Detail]
Dec. 28 | Nonlinear and Nonstationary Time Series and Panel Data Models: A Personal Journey

Time:Dec.28(Monday),14:00-15:30Venue:Zoom Conference ID:681 7365 7833Speaker:Jiti Gao, Professor of Econometrics and Economic Statistics at Monash UniversitySummary:Using a number of examples, the speaker will discuss a wide class of nonlinear and nonstationary time series and panel data models as well as non- and semi-parametric methods employed in model building, estimation and specification testing.The datasets involved in the discussion include 1) time series data with trending behavior; and[Detail]
Dec. 7 | Linking risk management under expected shortfall to loss-averse behavior

Time:Dec.7(Monday),19:00-20:00Venue:Zoom Conference ID:647 178 489Speaker:An Chen, professor of School of Mathematics and Economics atUlm UniversitySummary:We introduce and solve an optimal asset allocation problem under a weighted expected shortfall (WES) constraint,which contains the risk management problem under an expected shortfall constraint of \cite{BasakShapiro2001} as a special case. Furthermore,we link our risk management problem under the WES constraint with an optimal asset allocatio[Detail]
Nov.23 | A hybrid deep learning approach for optimal insurance strategies

Time:Nov.23(Monday), 9:00-10:00Venue:Zoom Conference ID:691 9464 0501Speaker:Zhuo Jin, Senior Lecturer of Division of Business and Economics atThe University of MelbourneSummary:This work studies a deep learning approach to find optimal insurance strategies for insurance companies. Due to the randomness of the financial ruin time to terminate the control processes, a Markov chain approximation-based iterative deep learning algorithm is developed to study this type of infinite-horizon optimal con[Detail]

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