On behalf of the Scientific Committee of the de Finetti
Risk Seminars, we are glad to invite you to participate at the following
Lecture
Jocelyne Bion-Nadal
Ecole Polytechnique, Paris
Title: Fully-Dynamic risk-indifference pricing
Abstract:
We propose a dynamic risk-indifference pricing evaluation derived from a
fully-dynamic risk-
measure on Lp-spaces. The concept of fully-dynamic risk-measures
offers
the possibility of changing the risk perspectives over time. It ts well the
study of both short and
long term investments. Dynamic risk-indifference pricing is an alternative
to utility-indifference
pricing.
In the case p = +infinity, we prove that risk indifference pricing provides
a proper convex price system. On the contrary, for p < infinity, it turns out
that the domain of the risk-indifference pricing
operator is not the whole Lp(Ft), not even a vector space. Therefore we
propose a new
framework. We prove Fatou property and time-consistency and we obtain a
represen-
tation result.
LOCATION:
The seminar will be held on Wednesday, February
20, at 18.00, Aula Chisini, Dept. of Mathematics, Milano University, Via C.
Saldini 50, Milano.
Scientific
Committee
Prof. Simone Cerreia-Voglio (Univ.
Bocconi)
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. Marco Maggis (Univ. degli Studi di
Milano)
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Emanuela
Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
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@unimib.it
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