Speaker： Jun Cai, Department of Statistics and Actuarial Science, University of Waterloo, Canada 

Time: 2018.6.7 10:00 am

Location: CEM building 702 (經(jīng)濟(jì)與管理學(xué)院大樓702)

Title：Risk measures with applications in optimal investment    portfolio selections for safety-first investors 

Abstract：In this talk, we review the new risk measures recently developed for controlling downside risks and from behavioural economics theory. We present the applications  of the new risk measures in optimal investment portfolio selections for safety-first investors. We use the real data from the New York Stock Exchange (NYSE) to show that the new risk measures  can effectively control downside risks of investment  portfolios  and perform  better than the classical risk measures such as TVaR in a volatile market. This talk is based on joint works with Tiantian Mao and Maochao Xu.

Bio：Dr. Jun Cai is a full professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. His current research interests include risk theory, risk analysis, risk management for insurance and finance, dependence modelling, optimization problems in insurance and finance. His publications appear in different journals in these fields including Mathematical  Finance, Finance and Stochastics,  Journal of Risk and Insurance,  Insurance: Mathematics and Economics, Scandinavian Actuarial Journal,  Advances in Applied Probability,  Stochastic Processes and their Applications,  Journal of Multivariate Analysis. He is currently an associate editor of Insurance: Mathematics and Economics and is also serving in editorial boards for several journals.