时 间：2023年7月21日（周五）14：00-16：00
地 点: 理科大楼A1514室
题 目：Risk Functionals with Convex Level Sets
报告人：Yunran Wei 卡尔顿大学助理教授
主持人：李丹萍 副教授
主 办：统计学院
摘 要：
We analyze the “convex level sets” (CxLS) property of risk functionals, which is a necessary condition for the notions of elicitability, identifiability and backtestability, popular in the recent statistics and risk management literature. We put the CxLS property in the multi-dimensional setting, with a special focus on signed Choquet integrals, a class of risk functionals that are generally not monotone or convex. We obtain two main analytical results in dimension one and dimension two, by characterizing the CxLS property of all one-dimensional signed Choquet integrals, and that of all two-dimensional signed Choquet integrals with a quantile component. Using these results, we proceed to show that under some continuity assumption, a comonotonic-additive coherent risk measure is co-elicitable with Value-at-Risk if and only if it is the corresponding Expected Shortfall. The new findings generalize several results in the recent literature, and partially answer an open question on the characterization of multi-dimensional elicitability.
报告人简介：
工作单位：
卡尔顿大学，助理教授，2021 – 至今
北伊利诺伊大学，助理教授，2019 – 2021
教育经历：
滑铁卢大学，精算博士，2015 – 2019
滑铁卢大学，统计硕士，2013 – 2015
滑铁卢大学，数学学士，2009 – 2013
研究方向：
精算，统计，量化风险管理