Allocations of Risk Capital: A Not So Simple View From the Simplex

Dr. Jianxi Su
Purdue University
Assistant Professor of Actuarial Science

“In this talk, we connect the allocation of risk capital to a general class of Dirichlet distributions defined on the n-dimensional simplex. The mixed-scaled Dirichlet distributions proposed herein contain the classical Dirichlet distribution as a special case, exhibit a multitude of desirable closure properties, and emerge naturally within the multivariate risk analysis context. As a by-product, our invention revisits the proportional allocation rule that is often used in applications.”

Light refreshments will be served @ 1:30 pm in EMS E424A.