统计与数据科学系系列学术报告之四百三十七期

时间：2024年6月13日（周四）10:00-11:00

地点：史带楼503室

主持人：复旦大学管理学院统计与数据科学系朱仲义教授

报告人：Prof. Xuming He Washington University in St. Louis

题目：Some Recent Developments in Expected Shortfall Regression

摘要：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.

个人简介：Xuming He is Deborah Beckmann Kotzubei and Jacob Kotzubei Distinguished Professor and Inaugural Chair of Statistics and Data Science at the Washington University in St. Louis. Currently He serves as President (2023-2025) of the International Statistical Institute.

He earned a bachelor's degree from Fudan University and Ph.D. in Statistics from University of Illinois Urbana-Champaign. His prior appointments include H.C. Carver Collegiate Professor of Statistics at the University of Michigan, faculty positions at National University of Singapore and University of Illinois at Urbana-Champaign. His research interests include theory and methodology in robust statistics, quantile regression, post-selection inference and subgroup analysis. His interdisciplinary research aims to promote the better use of statistics in biosciences, climate studies, dysphagia research, and social-economic studies.

His professional service includes Program Director of Statistics at the National Science Foundation (USA) and Co-Editor of the Journal of the American Statistical Association. His recent honors include, among many others, the Founders Award from the American Statistical Association, the Distinguished Faculty Achievement Award from the University of Michigan, and the Carver Medal from the Institute of the Mathematical Statistics.