第9回研究会

開催日：

2016年10月25日 (火)　16:45-18:00

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Prof. Freddy Delbaen (ETH Zurich)

タイトル：

Monetary Utility Functions (or Risk Measures) with Convex Level Sets

概要Abstract

The talk will give a very small introduction to risk measure theory and discuss general issues such as “why do we need risk measures”. I then give an introduction to law determined measures and related statistical problems. Finally I will show that risk measures having the statistical property “ elicitability “ can be characterised. This generalises a result of Stephan Weber, proved in the weak compactness case. (this is joint work with F. Bellini, V. Bignozzi and J. Ziegel)