主 题: Quantile-based risk sharing
报告人: Dr. Ruodu Wang (University of Waterloo)
时 间: 2016-04-14 15:10-16:10
地 点: 理科一号楼 1560
We address the problem of risk sharing among players using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing regulatory risk measures, as special cases. We first establish an inequality for RVaR aggregation, showing that a special form of subadditivity is satisfied by RVaR. Then, the risk sharing problem is solved by explicit construction. Three relevant issues in the optimal allocations are investigated: extra sources of randomness, comonotonicty, and model uncertainty. We show that in general, a robust optimal allocation exists if and only if none of the underlying risk measures is a VaR. Practical implications of main results for risk management and policy makers are discussed, including gambling behaviour, moral hazard, regulatory arbitrage, and model misspecification. In particular, in the context of regulatory capital reduction, we provide some general guidelines on how a regulatory risk measure can lead to certain desirable or undesirable properties of risk sharing among firms, and show many novel advantages of ES from the perspective of a regulator. 报告人简介： Dr. Ruodu Wang is currently Assistant Professor of Actuarial Science at the University of Waterloo in Canada. He received his Ph.D. in Mathematics from the Georgia Institute of Technology in USA. His research interest lies mainly in Quantitative Risk Management, with particular focus on risk measurement, dependence modelling, model uncertainty and risk aggregation. He has published over 30 papers in leading academic journals in related fields, including the Annals of Applied Probability, the Annals of Statistics, Statistical Science, Mathematics of Operations Research, Mathematical Finance, and Finance and Stochastics. His research is currently funded by the Natural Sciences and Engineering Research Council of Can
