[grads] [Sem-coll] AM Colloquium 8/27

[Joe Millham]

Greetings everyone, and welcome (back) for Fall 2007!

Please join us for the following colloquium. Coffee and snacks will be
served 5-10 minutes prior.

 

Colloquium

Monday, August 27, 2007

4:40 pm

Speaker: Jia-an Yan of the Institute of Applied Mathematics Beijing, China

E1 Room 106

 

Title: Risk Measures with Comonotonic Subadditivity and Respecting
Stochastic Orders

 

Abstract: 

Taking subadditivity as a main axiom, Artzner et al. (1997, 1999) introduced
the so-called coherent risk measures. Song and Yan (2006) introduced risk
measures which are comonotonically subadditive or convex. Recently we
introduced risk measures which are not only comonotonically subadditive or
convex, but also respect the (first) stochastic dominance or stop-loss
order, and give their representations in terms of Choquet integrals w.r.t.
distorted probabilities. This talk is based on a recent work with Yongsheng
Song.

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