Nell'ambito del programma di internazionalizzazione del
Dottorato in Statistica e Matematica per la Finanza della Bicocca, il
prof. Ruodu Wang del Department of Statistics and Actuarial Science della
University of Waterloo terrà nei giorni 9,10 e 11 novembre un mini-corso
su
Risk aggregation and Fréchet problems
Fréchet problems refer to questions related to an aggregation (sum,
typically) of several random variables, where the marginal distribution
of each individual random variable is known and the joint distribution
(copula) is unspecific. Unfortunately (in fact, fortunately), a large
number of questions in this field are still mathematically open. In the
modeling of risk aggregation, individual risks and their dependence
structure are often modeled separately, leading to uncertainty arising at
the level of a joint model. As the dependence structure is typically
uncertain, the study on quantitative characteristics (e.g. risk measures)
of risk aggregation under model uncertainty leads to a variety of Frèchet
problems. This course covers various topics in this quickly expanding
field. The content is mainly based on recent research of the instructor
and his collaborators.
Le lezioni si svolgeranno dalle ore 14.30 alle 17.30 presso la Sala del
Consiglio al IV piano dell'edificio U7. La partecipazione è libera ma è
necessario iscriversi mandando una email a drm2015@unimib.it.
Ulteriori informazioni sono disponibili sulla pagina
https://sites.google.com/site/dependenceriskmeasures/mini-course
Saluti
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it