Dear all,

On November Tuesday 16 at 17:00, Zachary Feinstein (Stevens Institute of Technology) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. Title and abstract below.

Title: Set-Valued Risk Measures as BS$\Delta$Es

Abstract: Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynamic risk measures have been defined and studied as families of set-valued functionals in the recent literature. There are two possible extensions of scalar backward stochastic differential equations for the set-valued framework: (1) backward stochastic differential inclusions, which evaluate the risk dynamics on the selectors of acceptable capital allocations; or (2) set-valued backward stochastic differential equations, which evaluate the risk dynamics on the full set of acceptable capital allocations as a singular object. In this talk, we will investigate the discrete time setting with difference inclusions and difference equations in order to provide insights for such differential representations for set-valued dynamic risk measures in continuous time..

The seminar will be on Zoom. You can find the information to join below.

Topic: Zachary Feinstein - Set-Valued Risk Measures as BS$\Delta$Es Time: Nov 16, 2021 17:00 PM Rome

Where: Zoom

Link: https://zoom.us/j/92990672101?pwd=TTY3SGtpVHlOdE9adEhKcGV1MzJnUT09

ID riunione: 929 9067 2101 Passcode: 85asGb

After the talk, you are all invited to remain in the meeting for an informal aperitif and chat.

Please forward to anyone interested.

Kind regards, Emanuela Rosazza Gianin and Elisa Mastrogiacomo

Elisa Mastrogiacomo ----------------------------------------- Professore Associato di Metodi matematici dell'economia e delle scienze attuariali e finanziarie

Università degli Studi dell'Insubria Dipartimento di Economia

Via Monte Generoso, 71 – 21100 Varese tel. +39 0332/395528

web: https://www.uninsubria.it/hpp/elisa.mastrogiacomo mail: elisa.mastrogiacomo@uninsubria.itmailto:mario.rossi@uninsubria.it