光华讲坛——社会名流与企业家论坛第6555期

主 题：Some Recent Developments in Expected Shortfall Regression期望短缺回归的最新进展

主讲人：华盛顿大学-圣路易斯何旭铭教授

主持人：统计学院林华珍教授

时间：2024年6月6日（周四）下午2：30-3：30

举办地点：柳林校区弘远楼408会议室

主办单位：统计研究中心和统计学院 国际交流与合作处 科研处

主讲人简介：

Xuming He is Kotzubei Beckmann Distinguished Professor and Inaugural Chair of the Department of Statistics and Data Science at Washington University in St. Louis. Xuming He’s research focuses on robust statistical analysis of observational data and designed experiments, particularly in areas such as quantile regression analysis, Bayesian computation for model selection, subgroup analysis, and post-selection inference.

Xuming He is an elected Fellow of the American Association for the Advancement of Science, the American Statistical Association, and the Institute of Mathematical Statistics. He served as Editor and Co-Editor of several journals including the Journal of the American Statistical Association (Theory & Methods). He has been honored as a Medallion Lecturer and Keynote Speaker at the 2007 Joint Statistical Meetings and delivered The International Association for Statistical Computing's President's Lecture at the 62nd World Statistics Congress (2019). He received the Distinguished Achievement Award from the International Chinese Statistical Association in 2015, the Distinguished Faculty Achievement Award from the University of Michigan in 2021. In addition, he was awarded the Carver Medal (2022) from the Institute of Mathematical Statistics and the Founders Award (2021) from the American Statistical Association for his decade-long leadership in the profession.

Currently, Xuming He serves as President of the International Statistical Institute, the only non-government global statistical organization with consultative status at the United Nations Economic and Social Council.

何旭铭是华盛顿大学-圣路易斯统计与数据科学系的Kotzubei Beckmann杰出教授和首任系主任。他的主要研究领域包括分位数回归分析、贝叶斯模型选择计算、亚组分析以及选择后推断等方面。

他是美国科学促进会（AAAS）、美国统计学会（ASA）和国际数理统计学会（IMS）的Fellow。曾担任JASA等多个期刊的主编。他曾在2007年的联合统计会议上担任Medallion Lecturer 和 Keynote Speaker，并在2019年第62届世界统计大会上担任国际统计计算协会主席并发表演讲。曾获得国际泛华统计协会（ICSA）杰出成就奖（2015）、密歇根大学杰出教师成就奖（2021）、国际数理统计学会（IMS）的卡弗(Carver)奖章（2022）以及美国统计学会（ASA）创始人奖（2021）等。

何旭铭现任国际统计学会（ISI）主席，该协会是唯一在联合国经济及社会理事会享有咨询地位的非政府全球统计组织。

内容简介：

Expected shortfall, measuring the average outcome (e.g., portfolio loss) above a given quantile of its probability distribution, is a common financial risk measure. The same measure can be used to characterize treatment effects in the tail of an outcome distribution, with applications ranging from policy evaluation in economics and public health to biomedical investigations. Expected shortfall regression is a natural approach of modeling covariate-adjusted expected shortfalls. Because the expected shortfall cannot be written as a solution of an expected loss function at the population level, computational as well as statistical challenges around expected shortfall regression have led to stimulating research. We discuss some recent developments in this area, with a focus on a new optimization-based semiparametric approach to estimation of conditional expected shortfall that adapts well to data heterogeneity with minimal model assumptions. The talk is based on joint work with Yuanzhi Li and Shushu Zhang.

期望短缺（Expected Shortfall）是一种常见的金融风险度量，衡量给定分位数以上的平均结果（例如，投资组合损失）。同样的度量可以用于描述结果分布尾部的处理效应，应用范围包括经济学和公共卫生政策评估以及生物医学研究。期望短缺回归是一种自然的方法，用于建模协变量调整后的期望短缺。由于期望短缺不能表示为总体水平上的期望损失函数的解，围绕期望短缺回归的计算和统计挑战激发了大量研究。主讲人将讨论该领域的一些最新进展，重点介绍一种新的基于优化的半参数估计方法，用于条件期望短缺的估计，该方法能够在最小模型假设下很好地适应数据异质性。该演讲基于与Yuanzhi Li和Shushu Zhang的合作研究。