SSE Weekly Colloquium | 理工学院系列研讨会邀请

The School of Science and Engineering is committed to creating a platform for students and faculty members to exchange ideas and explore cutting-edge research developments in various fields of science and engineering. Starting from 2021 fall, SSE will organize the "Weekly Colloquium" series of seminars every Friday. Each week, SSE will invite our faculty members and distinguished guest speakers from outside the University to conduct academic seminars.  

All students and faculty members are invited to join the weekly colloquium!

About the Colloquium

The speaker on November 17 is Prof. Yang LIU of SSE. The following is detailed information about the colloquium.

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Topic

Robust Quantile Aggregation with Dependence Uncertainty

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Time

10:30 - 11:30, November 17 (Friday)

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Venue

Room 119, University Library

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Speaker

Prof. Yang LIU

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Host

Prof. Gongqiu ZHANG

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Abstract

In the area of risk management, the marginal distributions of all assets are usually available, while the dependence structure among them is difficult to estimate. This underlying problem is called “risk aggregation with dependence uncertainty”. In fact, the problem is fundamental in probability theory (the Fréchet problem), and has a wide application in other fields, including optimal transport, operations research, and statistics. In this talk, I will present the following results from two papers. First, we establish a new analytical bound, “convolution bound”, for the problem of quantile aggregation with dependence uncertainty. The bound provides a unified analytical approximation formula with the best sharpness results. The bound is adopted to interpret the extremal dependence structure and illustrate the operations research application. Second, we derive the ordering and inequality relationships on the comparison of risk aggregation sets from a novel perspective of mixtures. A general message is that more “homogeneous” marginals lead to a larger aggregation set, and thus more severe model uncertainty.

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The Speaker

Yang LIU currently serves as an Assistant Professor at the School of Science and Engineering (SSE), The Chinese University of Hong Kong, Shenzhen. He obtained his bachelor's (2016) and doctoral (2021) degrees from the Department of Mathematical Sciences at Tsinghua University. Subsequently, he held postdoctoral positions at the University of Waterloo and Stanford University. His research area includes financial mathematics, actuarial science, operations research, applied probability and stochastic control.

School Profile

School of Science and Engineering is located in Shenzhen, a core city of the Guangdong-Hong Kong-Macao Greater Bay Area. Adhering to the rich CUHK's academic tradition with high emphasis on humanity elements, the School is committed to nurturing innovative technology leaders embracing China and the world with global visions and social responsibility.

As one of the founding schools of the University, SSE has so far offered 7 Undergraduate Programmes: Mathematics and Applied Mathematics, Chemistry, Electrical and Computer Engineering, New Energy Science and Engineering, Materials Science and Engineering, Physics, Financial Engineering. 3 Taught Postgraduate Programmes: Communication Engineering, Artificial Intelligence and Robotics，Supply Chain and Logistics Management. 7 Research Postgraduate Programmes/PhD programmes: Computer and Information Engineering, Materials Science and Engineering, Energy Science and Engineering, Mathematics, Physics, Chemistry (Approval Pending), Biomedical Engineering. Following the lofty educational philosophy and sound academic system of CUHK, SSE and its extraordinary faculty from all over the world have produced a succession of outstanding graduates. 

This series of seminars is open to all students and faculty members, and no pre-registration is required. Let's learn about the beauty of science and engineering together!

Interactive Multimedia Lab

The Interactive Multimedia Lab (or Room 119) is a teaching innovation lab where instructors and students can experiment with active learning techniques and interactive tools in the University library. It accommodates lectures, conferences, workshops, project demonstrations, and club activities.

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