Il giorno giovedì 17 dicembre alle ore 16.00, presso la
aula seminari del Dipartimento di Statistica e Metodi Quantitativi della
Università di Milano-Bicocca, al IV piano dell'edificio U7, il prof.
Alois Pichler (University of Vienna e Norwegian University of Science and
Technology), terrà un seminario su

The Natural Domain for Law Invariant Risk Functionals

Abstract

This talk addresses risk functionals, which are typically used in finance (insurance and banking), in stochastic optimization and decision theory.
While the expectation is nicely defined on L^1, the natural domain of a risk functional is not so immediate.
We introduce new Banach spaces, which are generated by the risk functional itself and which naturally constitute the domain spaces.
The risk functional is continuous with respect to the norm on the new space. Typically, the new space is strictly larger than an associated L^p space.
In addition, we investigate the duals of these space and elaborate their key properties.

Tutti gli interessati sono invitati a partecipare.

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