A General Family of Quantile Regression and Coherent Risk Measure
报告人：Keming Yu
Brunel University of London
时间：2025年7月14日上午9：00 - 10：30
地点：数学楼2-3会议室
摘要：
Regression models beyond mean, such as quantile regression and expectile regression, are extremely useful in many real-world applications where effects of explanatory variables vary across different outcome levels (e.g., income, health, risk) and the extreme cases, where the mean regression (like ordinary least squares, OLS) is too limited. Coherent risk measurers are crucial in finance and risk management because they provide a mathematically sound and economically meaningful way to assess the risk of financial positions and overcome key limitations of older measures like Value-at-Risk (VaR) and ensure consistency in decision-making. Our work makes a novel contribution by introducing a novel family of regression models beyond mean, namely Generalised Quantiel Regression (GQR), alongside coherent risk measurers. Many traditional regression models and risk measures can be viewed as special cases of GQR. As a flexible non-parametric regression model, GQR demonstrates outstanding performance in handling high-dimensional and large datasets, particularly those generated by distributed systems, offering a convenient framework for their statistical analysis. We derive the corresponding estimators and develop their asymptotic properties. Simulations and real data analyses are conducted to illustrate the finite-sample performance of the proposed methods.
报告人简介：
英国伦敦布鲁内尔大学（Brunel University of London）统计学与数据科学讲座教授（Chair Professor）、布鲁内尔大学数学学科研究影响中心主任，以及统计与数据分析硕士研究生课程主任。英国皇家统计学会会士。虞克明教授已在统计领域国际权威期刊（如《Journal of the American Statistical Association》《Journal of the Royal Statistical Society》《Journal of Econometrics》《Journal of Business & Economics Statistics》《Electronic Journal of Statistics》《Statistica Sinica》《Bernoulli》《Journal of Multivariate Analysis》《Journal of Time Series Analysis》《Technometrics》等）发表论文160余篇，并成功指导20多名博士生完成博士学位。美国斯坦福大学发布的全球前2%顶尖科学家榜单（World's Top 2% Scientists）自2019年首次发布以来，虞克明教授（伦敦布鲁内尔大学）连续多年入选。此外，他还受邀担任《Journal of the American Statistical Association》《A&CS》《The Royal Statistical Society-A》《The Royal Statistical Society-C》《Statistical and Its Interface》《Journal of Statistical Theory and Practice Review》等国际期刊的副主编（Associate Editor）。虞克明教授还受邀担任欧盟科学基金、英国自然科学基金、英国社会科学基金的会评专家，参与科研项目的评审工作。
