PhD candidate Yuyu Chen in the Department of Statistics and Actuarial Science recently won the Maplesoft Best Student Paper Award at the 24th International Congress on Insurance: Mathematics and Economics.
The 24th International Congress on Insurance: Mathematics and Economics, which took place on July 5-9, 2021 online, is the largest international academic conference in Actuarial Science. Yuyu Chen won one of the three Best Student Paper Awards for the presented paper entitled "Aggregation of two ordered risks with dependence uncertainty" (authors: Yuyu Chen, Liyuan Lin, Ruodu Wang). The Award is sponsored by Maplesoft.
In the presented paper, the authors address a problem concerning the aggregation of two random losses when the marginal distributions are known and the dependence structure is unknown, under the additional constraint that one loss is no larger than the other. Such a problem is intimately linked to the recently introduced notion of directional optimal transport in mass transportation theory. The full paper is available online at arXiv.