报告题目：Risk measures with applications in optimalinvestment portfolio selections for safety-first investors 

报 告 人：Professor Jun Cai,  滑铁卢大学统计与精算科学系

报告地点：苏州大学金融工程研究中心105学术报告厅

报告时间：2018年11月9日16：00-17:00 

报告摘要：In this talk, we review the new risk measures recentlydeveloped for controlling downside risks and from behavioural economics theory.We present the applications  of the new risk measures in optimalinvestment portfolio selections for safety-first investors. We use the realdata from the New York Stock Exchange (NYSE) to show that the new riskmeasures can effectively control downside risks of investment portfolios  and perform  better than the classical risk measures suchas TVaR in a volatile market.

报告人简介:  Dr. Jun Cai obtained his PhD degree in ActuarialMathematics at  Concordia University, Canada. He  currentlyis  a  professor of Actuarial Science  in theDepartment of Statistics and Actuarial Science  at the University ofWaterloo, Canada. His current  research interests include riskanalysis,  risk management for insurance andfinance, dependence modelling, optimization problems in insurance andfinance. His publications appear in different journals including Mathematical  Finance, Finance andStochastics,  Journal of Risk and Insurance, Insurance:Mathematics and Economics,  Scandinavian ActuarialJournal,  Advances in Applied Probability, Stochastic Processesand their Applications,  Journal of Multivariate Analysis, Annals ofOperations Research. He is currently an associate editor of Insurance:Mathematics and Economics and is  also serving  ineditorial boards for several other journals.