Tid: 2 oktober 2000 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Henrik Hult, Matematisk statistik, KTH.
Titel: A class of dynamic risk measures.
Sammanfattning:
We present a paper by T. Wang, "A class of dynamic risk measures", where a class of risk measures for evaluating multi-period risks is proposed. A special case in the proposed class generalizes the Value-at-Risk (VaR), widely used in risk management.