Recent Findings from Nankai University Provides New Insights into Actuarial Science (Systemic Risk: an Asymptotic Evaluation)

2019 JUN 27 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Current study results on Science - Actuarial Science have been published. According to news reporting originating from Tianjin, People’s Republic of China, by NewsRx correspondents, research stated, “Systemic risk (SR) has been shown to play an important role in explaining the financial turmoils in the last several decades and understanding this source of risk has been a particular interest amongst academics, practitioners and regulators. The precise mathematical formulation of SR is still scrutinised, but the main purpose is to evaluate the financial distress of a system as a result of the failure of one component of the financial system in question.”

Financial support for this research came from National Natural Science Foundation of China.

Our news editors obtained a quote from the research from Nankai University, “Many of the mathematical definitions of SR are based on evaluating expectations in extreme regions and therefore, Extreme Value Theory (EVT) represents the key ingredient in producing valuable estimates of SR and even its decomposition per individual components of the entire system. Without doubt, the prescribed dependence model amongst the system components has a major impact over our asymptotic approximations. Thus, this paper considers various well-known dependence models in the EVT literature that allow us to generate SR estimates.”

According to the news editors, the research concluded: “Our findings reveal that SR has a significant impact under asymptotic dependence, while weak tail dependence, known as asymptotic independence, produces an insignificant loss over the regulatory capital.”

For more information on this research see: Systemic Risk: an Asymptotic Evaluation. Astin Bulletin, 2018;48(2):673-698. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

The news editors report that additional information may be obtained by contacting J.Z. Li, Nankai University, School of Mathematical Science, Tianjin 300071, People’s Republic of China.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1017/asb.2017.38. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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