报告题目：A generalized tail mean-variance model for optimal capital allocation
报告人：姚经 苏州大学金融工程研究中心
报告时间：2023年11月21日（星期二）下午14:00
报告地点：仙林校区教2-327会议室
主办单位：350VIP浦京集团350VIP浦京集团
邀请人：周倩倩
报告内容：Capital allocation is a core task in financial and actuarial risk management. Some well-known capital allocation principles, such as the “Euler principle” and the “haircut principle”, have been widely used in the banking and insurance industry. The partitions of allocated capital not only serve as the buffer against the potential loss but also provide certain risk pricing and performance measurement to the underlying risks. Dhaene et al. (2012) proposed a unified capital allocation framework, which can be understood as a distance-minimizing allocation principle. Their objective function in the optimization only considers the magnitude of the loss function but not the variability. In this paper, we use the tail mean-variance model, which takes both the magnitude and the variability into account, to derive the optimal capital allocation for risks following the multivariate generalized hyperbolic distribution and the multivariate log-generalized hyperbolic distribution. We propose a general tail mean-variance model and derive explicit solutions for multivariate generalized hyperbolic distributed risks, which covers many existing results as special cases. For multivariate log-generalized hyperbolic distributed risks, we use the convex approximation method to solve the explicit solutions. We present two numerical examples showing the good performance of our optimal capital allocation rules. The first one analyzes the market risk of S&P 500 industry sector indices. We show that our optimal capital allocation framework is applicable for various scenario analyses and provides a performance measure for the indices and financial market. The other example is based on insurance claims from an Australian insurance company, showing our approximate formulas are both robust and accurate.
报告人简介：姚经, 应用经济学博士。现任苏州大学特聘教授，江苏省特聘教授，以色列海法大学精算研究中心研究员。主要研究方向包括量化金融分析，衍生品定价，最优投资策略和资产配置，风险相依性和系统风险等。主要结果发表在European Journal of Operation Research，Quantitative Finance，Insurance: Mathematics and Economics，Astin Bulletin等国际期刊上。