Maseeh Colloquium: Optimal Capital Allocation: Mean-Variance Models, Friday, May 3rd @ 3:15PM
Author: Fariborz Maseeh Department of Mathematics & Statistics
Posted: May 3, 2013

The Maseeh Mathematics and Statistics Colloquium Series

Maochao Xu, Ph.D.
Department of Mathematics,
Illinois State University

Optimal Capital Allocation: Mean-Variance Models

In the literature of risk management, the topic of capital allocation is extremely important and has attracted considerable interest recently. This issue has been even more relevant by the increased regulatory emphasis on capital requirements following the Credit Crisis of 2008, and the developing requirements for the Own Risk and Solvency Assessment (ORSA) process. In this talk, we discuss two novel capital allocation models based on the Mean-Variance principle. General formulas for optimal capital allocations for both models are derived according to quadratic distance measure. In particular, we discuss optimal capital allocation strategies for multivariate elliptical distributions and multivariate regularly varying distributions, which are quite popular in insurance and actuary science. I will also give some numerical examples to illustrate the results. A real data set from an insurance company is discussed as well.

Dr. Xu earned his Ph.D. in Statistics from Portland State University in 2010.

Friday, May 3rd, 2013 at 3:15pm
Neuberger Hall room 454
(Refreshments served at 2:45 in NH 344)

* Sponsored by the Maseeh Mathematics and Statistics Colloquium Series Fund and the Fariborz Maseeh Department of Mathematics & Statistics, PSU. This event is free and open to the public.