Recruitment Talk -- Robust risk aggregation techniques and applications

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January 14, 2022
4:15PM - 5:15PM
Location
Zoom

Date Range
Add to Calendar 2022-01-14 16:15:00 2022-01-14 17:15:00 Recruitment Talk -- Robust risk aggregation techniques and applications Speaker:  Yuyu Chen   Title: Robust risk aggregation techniques and applications   Abstract: Robust risk aggregation refers to the sum of individual risks with known marginal distributions and unspecified dependence structure, and it has been studied extensively with applications in banking and insurance. We study the robust risk aggregation of two risks under the constraint that one risk is smaller than or equal to the other. The largest aggregate risk in concave order is attained by the directional lower coupling. The result is further generalized to calculate the bounds of tail risk measures. Our numerical results suggest that the new bounds on risk measures with the extra order constraint can greatly improve those with full dependence uncertainty.   The set of distributions of the robust risk aggregation is called the aggregation set. We next investigate ordering relations between two aggregation sets for which the sets of marginals are related by two simple operations: distribution mixtures and quantile mixtures. Intuitively, these operations "homogenize" marginal distributions by making them similar. As a general conclusion from our results, more "homogeneous" marginals lead to a larger aggregation set. Finally, we provide applications on portfolio diversification under dependence uncertainty.   Zoom info:  https://osu.zoom.us/j/2904626940?pwd=WEZ3K2lPRlFybXI2OEdSSU5ROHlYdz09   Meeting ID: 290 462 6940 Password: Bucks Zoom Department of Mathematics math@osu.edu America/New_York public
Description
Speaker:  Yuyu Chen
 
Title: Robust risk aggregation techniques and applications
 
Abstract: Robust risk aggregation refers to the sum of individual risks with known marginal distributions and unspecified dependence structure, and it has been studied extensively with applications in banking and insurance. We study the robust risk aggregation of two risks under the constraint that one risk is smaller than or equal to the other. The largest aggregate risk in concave order is attained by the directional lower coupling. The result is further generalized to calculate the bounds of tail risk measures. Our numerical results suggest that the new bounds on risk measures with the extra order constraint can greatly improve those with full dependence uncertainty.
 
The set of distributions of the robust risk aggregation is called the aggregation set. We next investigate ordering relations between two aggregation sets for which the sets of marginals are related by two simple operations: distribution mixtures and quantile mixtures. Intuitively, these operations "homogenize" marginal distributions by making them similar. As a general conclusion from our results, more "homogeneous" marginals lead to a larger aggregation set. Finally, we provide applications on portfolio diversification under dependence uncertainty.
 
Zoom info: 
https://osu.zoom.us/j/2904626940?pwd=WEZ3K2lPRlFybXI2OEdSSU5ROHlYdz09
 
Meeting ID: 290 462 6940
Password: Bucks