Random distortion risk measures

报告人：杨静平（北京大学）

时  间：2026年5月27日14:30

地  点：海韵园实验楼S206

内容摘要:

We present one type of random risk measures, named as the random distortion risk measure. The random distortion risk measure is a generalization of the traditional deterministic distortion risk measure by randomizing the deterministic distortion function and the risk distribution respectively, where a stochastic distortion is introduced to randomize the distortion function, and a sub-sigma-algebra is introduced for illustrating the influence of the known information on the risk distribution. Some theoretical properties of the random distortion risk measure are provided. Based on some stochastic axioms, the representation theorem of the random distortion risk measure is proved. For considering the randomization of a given deterministic distortion risk measure, some families of random distortion risk measures are introduced with the stochastic distortions constructed from a Poisson process, a Brownian motion and a Dirichlet process respectively. And a numerical analysis is carried out for showing the influence of the stochastic distortion and the sub-sigma-algebra. It is a joint work with Xin ZANG, Fan JIANG and Chenxi XIA.

个人简介：

杨静平，北京大学数学科学学院教授， 博士生导师， 国家二级教授。研究兴趣有金融和保险中的风险相依性、风险度量、信用风险管理以及资产支持证券等。在金融数学期刊Mathematical Finance, Finance and Stochastics、SIAM Journal on Financial Mathematics、Journal of Computational Finance、精算学期刊Insurance：Mathematics and Economics、ASTIN Bulletin、Scandinavian Actuarial Journal、North American Actuarial Journal以及概率论期刊Bernoulli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金融行业的课题。完成《寿险精算基础》和《非寿险精算学》等教材。获2023年国家级教学成果二等奖（2/7）。

联系人：王海斌