赌博网站 学术报告[2025] 024号

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报告题目: Robust Λ-quantiles and extremal distributions

报告人：韩霞 助理教授（南开大学）

报告时间：2025年4月11日上午10:00-11:00

讲座地点：深圳大学粤海校区汇星楼（科技楼）514

报告内容：In this paper, we investigate the robust models for Λ-quantiles with partial information regarding the loss distribution, where Λ-quantiles extend the classical quantiles by replacing the fixed probability level with a probability/loss function Λ. We find that, under some assumptions, the robust Λ-quantiles equal the Λ-quantiles of the extreme distributions. This finding allows us to obtain the robust Λ-quantiles by applying the results of robust quantiles in the literature. Our results are applied to uncertainty sets characterized by three different constraints respectively: moment constraints, probability distance constraints via Wasserstein metric, and marginal constraints in risk aggregation. We obtain some explicit expressions for robust Λ-quantiles by deriving the extreme probabilities for each uncertainty set. Those results are also applied to optimal portfolio selection and optimal reinsurance under model uncertainty.

报告人简历：韩霞博士于2022年加入南开大学赌博网站 ，现任概率统计系讲师。她2020年获得南京师范大学统计学博士学位，随后在加拿大滑铁卢大学精算与统计系从事博士后研究（2020-2022）。其研究方向为保险精算、量化风险管理、风险分担。在《Insurance: Mathematics and Economics, 》、《SIAM Journal on Control and Optimization》、《Mathematical Finance》、《Management Science》等期刊发表学术论文。

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