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The University of Southampton
CORMSIS Centre for Operational Research, Management Sciences and Information Systems

CORMSIS seminar: The Natural Domain For Law Invariant Risk Functionals Event

Time:
16:00 - 17:00
Date:
9 February 2016
Venue:
Room 1085 Building 2, Southampton Business School

For more information regarding this event, please email Dr Yuan Huang at yuan.huang@soton.ac.uk .

Event details

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 its key properties.

Speaker information

Dr Alois Pichler,Norwegian University of Science and Technology,Dr Alois Pichler is an assistant professor. Alois' main research interests include: - Statistics and Probability Theory, OR - Finance, actuarial Science and Risk Theory - Optimization, and Optimization under Uncertainty

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