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%5B1]

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

Links: ------ [1] https://sites.google.com/site/dependenceriskmeasures/mini-course

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