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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Multi-period risk functionals

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).

Presentation slides (pdf, 195 KB)

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