Abstract

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis.  In this talk, we will study a question as to whether or not the RCA induced by the regulatory risk measure may concur with alternatives that arise from the context of profit maximization.  We will begin by discussing the mathematical formulation of RCA problems, after which we will address the question from three perspectives: probability, asymptotic analysis, and statistics.

About the speaker

Dr. Jianxi Su is an Associate Professor at the Department of Statistics and Associate Director of the Actuarial Science Programme at Purdue University. Prior to joining Purdue University, he obtained his PhD from York University in 2015 and then he held a Post-doctoral position at the Schulich School of Business in 2016. Dr. Su’s research interests are in Actuarial Mathematics, Probability Theory and Statistical Analysis. In particular, he is interested in risk measures, risk decomposition techniques, premium principles, multivariate families of distributions, (tail) dependence, copulas and Statistical inference in actuarial and financial mathematics.