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Description: |
We review the concept of risk measure and its use as a capital requirement in the financial industry or as a premium in the insurance context. We then consider the Choquet integral as an important representation of risk measures and specialise to distortion risk measures. Our main innovation is the introduction of discontinuities in the distortion function and its implication on some representation theorems.
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Date: |
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| Start Time: |
14:30 |
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Speaker: |
Miguel Mendes (FEUP/CMUP, Univ. Porto)
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Institution: |
FEUP/CMUP, Univ. Porto
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Place: |
Sala 5.5
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| Research Groups: |
-Probability and Statistics
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See more:
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<Main>
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