报 告 人：胡亦钧 教授（武汉大学）
报告题目：Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
报告时间：2017年10月26日（周四）下午3：30
报告地点：静远楼1506报告厅
报告人简介：
胡亦钧，武汉大学数学与统计学院教授, 博士生导师。1993年7月博士毕业于武汉大学数学系、并留校任教，现主要从事金融风险度量、保险数学等相关领域的教学与科研工作。2004年入选教育部“新世纪优秀人才支持计划”，先后主持完成国家自然科学基金项目5项，目前主持在研国家自然科学基金面上项目1项。近年来，在 Insurance: Mathematics and Economics, Stochastic Models, Statistics and Probability Letters 等国内外专业刊物上发表学术论文40余篇；先后应邀访问美国Maryland大学、加拿大York大学、芬兰Helsinki大学、香港大学、香港科技大学、香港浸会大学。曾任中国数学会理事、中国概率统计学会理事；现任中国概率统计学会保险精算专业委员会委员、湖北省金融统计学会常务理事。
报告摘要：
In this talk, we will introduce two kinds of time consistent properties for set-valued dynamic risk measures for discrete-time processes that are adapted to a given filtration, named time consistency and multi-portfolio time consistency. Equivalent characterizations of multi-portfolio time consistency are deduced for normalized dynamic risk measures. In the normalized case, multi-portfolio time consistency is equivalent to the recursive form for risk measures as well as a decomposition property for the acceptance sets. The relations between time consistency and multi-portfolio time consistency are addressed. We also provide a way to construct multi-portfolio time consistent versions of any dynamic risk measure. Finally, we will investigate the relationship about time consistency and multi-portfolio time consistency between risk measures for processes and risk measures for random vectors on some product space.
This talk is based on a joint work with Dr. Yanhong Chen from Wuhan University.