報告題目： Stochastic distortion and its transformed copula
報 告 人： 楊靜平 教授 北京大學
報告時間： 2020年6月29日 9：00-10：00
報告地點： 騰訊會議ID：747 758 212
會議鍊接： https://meeting.tencent.com/s/WDLitfo8N5fu
校内聯系人：韓月才 hanyc@jlu.edu.cn
報告摘要：
Motivated by wide applications of distortion functions and copulas in insurance and finance, we generalize the notion of a deterministic distortion function to a stochastic distortion, i.e., a random process, and employ the defined stochastic distortion to construct a so-called transformed copula by stochastic distortions. One method for constructing stochastic distortions is provided with a focus on using time-changed processes. After giving some families of the transformed copulas by stochastic distortions, a particular class of transformed copulas is applied to a portfolio credit risk model, where a numeric study shows the advantage of using the transformed copulas over the conventional Gaussian copula and the double t copula in terms of the fitting accuracy and the ability of catching tail dependence. It is a joint work with Feng Lin, Liang Peng and Jiehua Xie.
報告人簡介：
楊靜平，北京大學數學科學學院教授，博士生導師。現任數量經濟與數理金融教育部重點實驗室（北京大學）副主任，中國工業與應用數學學會第七屆理事會理事。 研究興趣有金融和保險中的風險相依性、債券組合模型和信貸資産證券化等。在金融數學期刊Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算學國際四大學術期刊以及概率論期刊Bernoulli和數學期刊Fuzzy Sets and Systems等發表了多篇學術論文。主持完成了中國國債發行策略的随機模拟模型、國債收益率曲線的拟合、信貸資産證券化以及含權債估值模型等方面的應用課題。
