十大彩票预测 学术报告[2025] 130号

(高水平大学建设系列报告1232号)

报告题目：Asymptotic Analysis of a Dynamic Systemic Risk Measure in a Renewal Risk Model

报告人：李津竹 教授（南开大学）

报告时间：2025年11月22日下午15:00-16:00

报告地点：汇文楼2433

内容摘要：In the context of insurance, we propose a dynamic systemic risk measure based on a multi-dimensional renewal risk model to describe the instant expected shortfall of an insurer at the moment when one of its business lines suffers crisis (i.e., deficit). The asymptotic behavior of the measure is studied in both the asymptotic independence and asymptotic dependence cases, and some asymptotic formulas with the uniformity in the whole time horizon are derived when the claim size distributions belong to the class of regular variation. The obtained results do not depend on specific setups of the renewal claim-number process, and they are also insensitive to specific dependence structures in the asymptotic independence case. These facts make our results concise in form and flexible in application. More interestingly, our results for the corresponding discounted version of the measure have nothing to do with the time variable. Hence, the discounted version of the measure can be regarded approximately as a static (i.e., time-invariant) risk measure of the dynamic system.

报告人简历：李津竹，南开大学十大彩票预测 教授，博士生导师，主要从事随机过程及其在金融保险中的应用研究，目前主持国家自然科学基金面上项目1项，在《Adv. in Appl. Probab.》、《Bernoulli》、《Insurance Math. Econom.》、《Scand. Actuar. J.》、《Astin Bull.》等主流期刊发表学术论文30余篇。

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邀请人：李婧超

十大彩票预测

2025年11月20日