On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
TITLE: Set-valued portfolios and set-valued risks
Ilya Molchanov University of Bern, Switzerland
ABSTRACT: Using the concept of set-valued portfolios, it is possible to incorporate dependencies between the distribution of the multivariate gain and the exchange rules. The set-valued portfolio is considered acceptable if it possesses a selection (i.e. a random vector that alsmost surely belongs to it) with all individually acceptable components. The corresponding set-valued risk measure is said to be a selection risk measure. The talk surveys its main properties, discusses the primal and dual representation, gives examples, and shows how to approximate its values from below and from above using rather elementary arguments. Applications of selection risk measures to the practical risk assessment are also presented. A special attention is paid to applications of selection risk measures to risk assessment of financial groups. Joint work with I. Cascos (Madrid), A. Haier (Bern), M. Schmutz (Bern).
LOCATION: The seminar will be held on Wednesday, March 16, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30.
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)
**************************************************** 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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