讲座题目：On a family of log-gamma-generated Archimedean copulas

主 讲 人：杨雅明博士（“数字经济与实体经济深度融合研究”科研创新团队）

讲座时间：2021年9月30日 19：50-21：20

讲座地点：N3222

讲座内容：

Modeling dependence structure among various risks, especially the measure of tail dependence and the aggregation of risks is crucial for risk management. In this article, we present an extension to the traditional one-parameter Archimedean copulas by integrating the log-gamma-generated (LGG) margins. This class of novel multivariate distribution can better capture the tail dependence. The distortion effect on the classic one-parameter Archimedean copulas is well exhibited and the analytical expression of the sum of bivariate margins is proposed. The model provides a flexible way to capture tail risks and aggregate losses of portfolios. Sufficient conditions of constructing a legitimate d-dimensional LGG Archimedean copula as well as the simulation framework are also proposed. Furthermore, two applications of this model are presented using concrete insurance data sets.

主讲人简介：

杨雅明，天津财经大学统计学院讲师，硕士生导师，博士毕业于南开大学精算学系，2017-2018年受国家留学基金资助赴墨尔本大学进行为期一年的联合培养，主要研究领域为金融与精算统计方法。2020年加入“数字经济与实体经济深度融合研究”创新团队。曾在《North American Actuarial Journal》、《保险研究》、《管理工程学报》等国内外期刊发表多篇论文。