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Dr. Giovanni Puccetti

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Risk aggregation: New techniques and new problems

Was
  • FDM-Seminar
Wann 18.06.2010
von 11:15 bis 13:00
Wo Eckerstr.1, Raum 404
Name
Kontakttelefon 0761-2037701
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University of Firenze, Italy

Department of Mathematics for Decisions

 

Abstract:

Quantitative Risk Management often starts with a vector X of one-period loss random variables.
We introduce a general mathematical framework which interpolates between different levels of information on the distribution of X
and illustrate some basic issues on how to aggregate and risk measure the random position X. In particular, we study Risk Aggregation
under different mathematical set-ups, for different aggregating functionals and risk measures, focusing on Value-at-Risk.
We show how the theory of Mass Transportations and tools originally developed to solve so-called Monge-Kantorovich problems turn out to be useful in this context.
Finally, we introduce some new numerical integration techniques which solve some open aggregation problems and raise new interesting research issues.

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