统计学系系列讲座之351期

 

时 间:2019年7月24日(星期三)15:00-16:00

地 点:史带楼205室

主持人:黎德元 教授 复旦大学管理学院统计学系

主 题:Statistical Inference for Mortality Model and Risk Allocation

主讲人:Prof. Liang Peng Department of Risk Management and Insurance, Georgia State University

简 介:

Peng is the Thomas Bowles Chair professor in Actuarial Science in the Department of Risk Management and Insurance at Georgia State University. His research interests include actuarial science, risk management, financial econometrics and statistics.

 Currently he is an associate editor of JASA, Statistica Sinica and Scandinavian Journal of Statistics. Peng is fellow of the American Statistical Association and fellow of the Institute of Mathematical Statistics.
 

摘 要:

After revisiting the well-known Lee-Carter mortality model in forecasting mortality risk and hedging longevity risk, we propose a modified Lee-Carter model to overcome the possible inconsistent two-step inference proposed by Lee and Carter (1992). Unit root test, mortality forecast and bias corrected inference are provided too.  Another topic is on risk or capital allocation, where a new allocation rule based on Value-at-Risk is proposed and estimated nonparametrically at the standard rate of convergence. In order to efficiently quantify the uncertainty, a residual based bootstrap method is proposed to combine  with  AR-GARCH models.

                   

 统计学系 

2019-7-18