University of Connecticut

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Actuarial Science Seminar
Allocations of risk capital: A not so simple view from the simplex
Jianxi Su (Purdue University)

Monday, December 2, 2019
11:00am – 12:00pm

Storrs Campus
MONT 214

In this talk, we connect the allocation of risk capital to a general class of Dirichlet distributions defined on the n-dimensional simplex. The mixed-scaled Dirichlet distributions proposed herein contain the classical Dirichlet distribution as a special case, exhibit a multitude of desirable closure properties, and emerge naturally within the multivariate risk analysis context. As a by-product, our invention revisits the proportional allocation rule that is often used in applications.

Contact:

bin.zou@uconn.edu

Actuarial Science Seminar (primary), UConn Master Calendar

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