Mathematics & statistics research seminar

SPEAKER: Dr. Mélina Mailhot

ABSTRACT:  The use of multivariate risk measures in Actuarial Science, Finance and Enterprise Risk Management has been investigated since the beginning of the 21st century and is gaining popularity in research and in practice. It has the advantage of approaching heterogeneous classes of homogeneous risks in a more precise way than applying a univariate risk measure to an aggregate portfolio of pooled risks. Insurance companies are constrained with regulatory capital requirements, and must carefully select risks. Financial institutions must also fulfill regulatory capital requirements and perform risk selection. Risk measures help regulators establish those required amounts in order to secure capital and protect stakeholders. Risk measures are also used to compare risks and part of the risk selection process in Actuarial Science.​ In this presentation, we define several multivariate risk measures, such as multivariate Value-at-Risk (VaR), Tail Value-at-Risk (TVaR) and empirical multivariate risk measures. Properties and applications will be provided.