[Forum SIS] seminario Ruodu Wang in Bicocca

[fabio.bellini]

Il giorno martedì 13 maggio alle ore 15.00 presso la aula 
seminari del Dipartimento di Statistica e Metodi 
Quantitativi della Università di Milano Bicocca, al IV 
piano dell'edificio U7, il dott. Ruodu Wang della 
Università di Waterloo (Canada) terrà un seminario su:

Admissible distributions of risk aggregation

Abstract

Modeling inter-dependence between individual risks often 
faces statistical as well as probabilistic challenges, in 
which dependence uncertainty naturally arises. In this 
talk, we consider problems of risk aggregation with 
dependence uncertainty. The core question of interest is 
to characterize admissible distributions of risk 
aggregation, where marginal distributions of individual 
risks are assumed known but the joint dependence structure 
is unknown. In the first part of the talk, we will 
summarize finite dimensional results based on the notion 
of joint mixability, and discuss their relevance to 
optimization problems in risk management. In the second 
part of the talk, we will study asymptotic problems of 
admissible risk aggregation with identical margins. The 
results are concise and, in the meanwhile, surprising. We 
hope to deliver the following message: with the marginal 
distribution known and dependence structure unknown, we 
know essentially nothing about the asymptotic shape of the 
sum of random variables.

Tutti gli interessati sono invitati a partecipare.

Fabio Bellini