报告题目： Stochastic distortion and its transformed copula

报 告 人： 杨静平 教授 北京大学

报告时间： 2020年6月29日 9：00-10：00

报告地点： 腾讯会议ID：747 758 212

会议链接： https://meeting.tencent.com/s/WDLitfo8N5fu

校内联系人：韩月才 hanyc@jlu.edu.cn

报告摘要：

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.

报告人简介：

杨静平，北京大学数学科学学院教授，博士生导师。现任数量经济与数理金融教育部重点实验室（北京大学）副主任，中国工业与应用数学学会第七届理事会理事。 研究兴趣有金融和保险中的风险相依性、债券组合模型和信贷资产证券化等。在金融数学期刊Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学国际四大学术期刊以及概率论期刊Bernoulli和数学期刊Fuzzy Sets and Systems等发表了多篇学术论文。主持完成了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合、信贷资产证券化以及含权债估值模型等方面的应用课题。