主 题：Convex Bounds Approximation Method for Risk Aggregations with Applications in Option Pricing and Capital Allocation

主讲人: 姚经 英国赫瑞瓦特大学统计精算系助理教授

时 间：2019-03-30 15:30

地 点：明德主楼836室

In this talk, I briefly introduce an approximation method based on convex bounds for the applications related with risk aggregation. In particular, I shall talk about the applications of this method in Asian option pricing, basket option pricing, spread option pricing and capital allocation problem under risk additive models. Numerical results are presented to show that this approximation method is accurate, efficient and robust.