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)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 03/29/24 - 00:49 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST