ACredit Portfolios, Credibility Theory, and Dynamic Empirical Bayes
Lai Tze Leung, Stanford University, United States
Date:
09 Jul 2012
Time:
3.00pm – 4.00pm
Venue:
S17-04-06
About the Speaker
Tze Leung Lai is Professor of Statistics, and by courtesy, of Health Research and Policy and of the Institute of Computational and Mathematical Engineering at Stanford University. He is the co-director of the Biostatistics Core of the Cancer Institute and of the Center for Innovative Study Design at Stanford University Medical School, and is also the director of the Financial Mathematics Program at the university. He received his Ph.D. degree from Columbia University in 1971, where he remained on the faculty until moving to Stanford University in 1987. He received the Committee of Presidents of Statistical Societies Award in 1983 and is an academician of Academia Sinica. He is an elected Fellow of the American Statistical Association and of the Institute of Mathematical Statistics, and is an elected member of the International Statistical Institute. He has published over 250 papers in sequential analysis, time series, econometrics, quantitative finance and risk management, signal processing and engineering control, probability theory and stochastic processes, biostatistics and clinical trials. A complete list of his publications can be found at http://lait.web.stanford.edu . He has supervised over 50 Ph.D. theses and has written eight books.
Abstract
We begin with a brief review of (a) the pricing theory of multi-name credit derivatives to hedge the credit risk of a portfolio of corporate/sovereign bonds and (b) current approaches to modeling correlated default intensities. We then consider pricing of insurance and re-insurance contracts using credibility theory in actuarial science. After a brief discussion of the similarities and differences of both pricing theories, we propose a new unified approach that uses recent advances in dynamic empirical Bayes modeling.
