Wed, December 10, 2025
4:10 pm - 5:40 pm
Cockins Hall 240
Title: Introduction to Capital Allocation and Risk Sharing
Speaker: Linfeng Zhang
Abstract: We will discuss the capital allocation and risk sharing problems in quantitative risk management. The discussion begins with an introduction to risk measures and dependence structures. Then it extends to how principles of risk aggregation, capital allocation, and risk sharing are developed from these foundations. I will provide an overview of recent developments in these areas and highlight several projects I am currently working on.