报告题目：Asymptotic Results on Marginal Expected Shortfalls for Dependent Risks

报告时间：2021年12月17号10:30-11:30

报告人：李津竹（南开大学）

腾讯会议：277-294-175

报告摘要：In this paper, we study the asymptotic behavior of three types of Marginal Expected Shortfalls with different reference indices of the overall risk. Our results for the asymptotic independence case are obtained under quite general frameworks, in which no specific distribution class of each individual risk is supposed. For the asymptotic dependence case, we conduct the study under two widely applied assumptions, which imply that the individual risks possess the Fréchet and Gumbel tails, respectively. We also give an analysis on the accuracy of our asymptotic results in various scenarios when there are two individual risks in the whole system.

报告人介绍：李津竹，南开大学99905银河在线登录平台教授，博士生导师，主要从事随机过程及其在金融保险中的应用研究，目前主持国家自然科学基金面上项目1项，参与国家自然科学基金重点项目1项，发表高质量学术论文20余篇。

邀请人 程东亚