Composite Bernstein Copulas
主 题: Composite Bernstein Copulas
报告人: 杨静平 (122cc太阳集成游戏)
时 间: 2017-03-16 14:00 - 15:00
地 点: 理科一号楼1114
报告人简介：杨静平教授，122cc太阳集成游戏
1984年进入北京大学数学系概率统计专业就读学士学位，先后在北京大学概率统计系获得学士、硕士和博士学位。1991年7月开始在北京大学任教，1997年5月至今金融数学系教师。研究兴趣为金融和保险中的风险相依性、信用风险管理、债券组合模型和信贷资产证券化等。在金融数学期刊Financeand Stochastics和Journalof Computational Finance、精算学的国际四大学术期刊以及概率论期刊Bernoulli等发表了多篇学术论文。主持完成了多项国家自然科学基金项目，主持了中国国债发行策略的随机模拟模型、国债收益率曲线的拟合以及信贷资产证券化等方面的应用课题。
【报告摘要】：Copulafunction has been widely used in insurance and finance for modelinginter-dependency between risks. Inspired by the Bernstein copula (BC) putforward by Sancetta and Satchell (2004), we introduce a new class ofmultivariate copulas, the composite Bernstein copula (CBC), generated from acomposition of two copulas. This new class of copula functions is able tocapture tail dependence, and it has a reproduction property for the threeimportant dependency structures: comonotonicity, countermonotonicity andindependence. We introduce an estimation procedure based on the empiricalcomposite Bernstein copula (ECBC) which incorporates both prior information anddata into the estimation. Simulation studies and an empirical study onfinancial data illustrate the advantages of the ECBC estimation method,especially in capturing tail dependence. It is a joint work with Zhijin Chen,Fang Wang and Ruodu Wang.
