Dr. Ruodu WANG (Montreal):
Risk aggregation with dependence uncertainty
Zeit und Ort
Mittwoch, 30.10.13, 16:15-17:15, Raum 232, Eckerstr. 1
Zusammenfassung
Modeling inter-dependence between individual risks often faces statistical as well as probabilistic challenges. In this talk, we introduce a mathematical framework for the dependence uncertainty in risk aggregation, where the marginal distribution of individual risks are assumed known but the joint dependence structure is assumed to be unknown. We discuss past, ongoing and potential future research on convex orders, extreme scenarios, risk measures, and asymptotics related to depence uncertainty. The mathematical developments in this talk are mainly inspired by the concept of complete mixability.