Presentation Name: A non-linear extension of martingale convergence in terms of convex risk measures
Presenter: Professor Hans Foellmer
Date: 2016-11-02
Location: 复旦大学第六教学楼6408室
Abstract:

We show how martingale convergence forwards and backwards extends to a consistent sequence of conditional convex risk measures; this is based on joint work with Irina Penner. 

As an application, we describe the structure of systemic risk measures that are consistent with a given family of local conditional risk measures, and we discuss the appearance of phase transitions at the global level.

 海报

 

 

Annual Speech Directory: No.234

220 Handan Rd., Yangpu District, Shanghai ( 200433 )| Operator:+86 21 65642222

Copyright © 2016 FUDAN University. All Rights Reserved