[Forum SIS] Bocconi DEC Seminar Gregor Svinland - December 3rd

[Marco Bonetti]

> DEC Seminar
> Università Bocconi,
> Room N10
> Piazza Sraffa 13 - 1st floor
> Time: 4:00pm
>
> The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar
>
> Thursday, December 3rd
>
> Gregor Svindland
> (Mathematics Institute, University of Munich)
>
> "Convex Risk Measures Beyond Bounded Risks"
>
> Abstract:
>
> We establish a one-to-one correspondence between law-invariant  
> convex risk measures on the space of bounded risks
> and law-invariant convex risk measures on the space of integrable  
> random variables.
> Moreover, we discuss difficulties related to the extension of risk  
> measures from the space of bounded risks to larger spaces.
> In particular, we compare several approaches to this extension  
> problem.
>

---
Marco Bonetti
Department of Decision Sciences
Bocconi University
Via Guglielmo Roentgen 1
20136 Milan, Italy
Tel +39 02 58365670
Fax +39 02 58365634

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