Workshop: Advanced Modeling in Finance and Insurance
Time: Thu, September 25, 2008, 16:20-17:10
Speaker: Georg Pflug
Abstract
The presentation focuses on multi-period aspects of risk functionals. We discuss properties, provide dual
representations and offer methods for constructing multi-period risk functionals. On the way, existence results and representations for conditional risk mappings are derived. In particular, conditional, multi-period and nested versions of the average value-at-risk and other distortion functionals are given. Finally, the importance of these multi-period risk functionals (especially polehedral ones) for their employment in practical dynamic decision making and risk management is discussed.
This is joint work with Werner Roemisch (HU Berlin).
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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