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April 2014

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de Finetti risk seminar - aprile 2014
by Emanuela Rosazza Gianin 02 Apr '14

02 Apr '14

On behalf of the Scientific Committee of The de Finetti Risk Seminars - on the Mathematical Theory of Economics and Finance in Milano, we are glad to invite you to participate at the "de Finetti Risk Seminar" on April 9, 2014 at 18.00 with the Lecture Equilibrium in risk sharing games COSTANTINOS KARDARAS London School of Economics Abstract: We study equilibrium sharing of investment risk among agents whose random endowments constitute private information. Given the sharing rules that optimally allocate the submitted endowments, we propose a Nash game where agents' strategic choices consist of the endowments to be submitted for sharing. It is proved that the best response problem admits a unique solution (which we call "best endowment response") and differs from the agent's true risk exposure. Then, we proceed in showing that the Nash equilibrium risk sharing admits a finite dimensional characterisation, and that it exists and is unique in the case of two agents. Analysis shows that the game benefits the agents close to risk neutrality, since their expected utilities are higher at the Nash risk sharing equilibrium than the optimal risk-sharing one. (Joint work with Michail Anthropelos.) LOCATION: The seminar will be held on Wedsnesday, April 9, at 18.00 at Sala di rappresentanza, Department of Mathematics, Milano University, Via Saldini 50, Milano. A refreshment will be offered at 17.30. Scientific Committee: Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Simone Cerreia-Voglio (Univ. Bocconi) Dott. Marco Maggis (Univ. degli Studi di Milano) ******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali Università di Milano Bicocca Edificio U7 - 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1(a)unimib.it *******************************************************************************************

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Jean- Marc Azaïs - Tor Vergata - 7 aprile
by Valentina Cammarota 02 Apr '14

02 Apr '14

Ciclo di Seminari - Progetto ERC PASCAL (Probabilistic and Statistical Techniques for Cosmological Applications) Lunedì 7 aprile ore 14 Aula D'Antoni 1101 Dipartimento di Matematica Università di Roma Tor Vergata Speaker: Jean-Marc Azaïs IMT, Universite de Toulouse, France Title: The tail of the maxima of Gaussian fields on non locally convex sets. Abstract: The Euler Characteristic method or the Rice method give a full expansion of the tail of the maximum of stationary Gaussian fields defined on some regular sets. A key hypothesis is local convexity that means roughly that, by a smooth change of parameterization, the parameter set can be transform in a convex set. In our talk we will present an alternative method that works for general parameter set as fractals sets and permits to obtain a full expansion in dimensions 2 for a large class. Our result will be illustrated by examples that are all new. Tutti gli interessati sono invitati a partecipare. ................................................................................ Valentina Cammarota, Postdoc Department of Mathematics Universita` degli Studi di Roma Tor Vergata https://sites.google.com/site/valentinacammarota/ ................................................................................ -- Open WebMail Project (http://openwebmail.org)

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