Haijin Li's April 2011 Talk
Time and Date: 4:10 pm Tuesday, April 19
Location: 5W Neill Hall, WSU Mathematics Department
Title: Risk, Coherency and Cooperative Games
Abstract: A coherent risk measure is a translation invariant sub-additive functional defined on a convex cone of random risk factors (such as stock returns or loss in an insurance portfolio). Under some regularity conditions, a coherent risk measure arises via duality as the worst expected loss with respect to a collection of scenario probability measures on physical states. In this talk, we will explain how the axiomatic approach of coherent risks can overcome fundamental flaws of some widely used risk assessment tools in finance. Using Choquet (non-additive) integration, we will also discuss a deeper relation between coherent risk and cooperative game. We will introduce in this talk all the basic ingredients in understanding the essential ideas, and in particular, no prior knowledge on finance is needed.
Speaker Bio: http://www.math.wsu.edu/math/faculty/lih/welcome.php
Background Information for Talk: For the background papers, I mention the following two:
- Artzner, P., Delbaen, F., Eber, J.M. and Heath, D. (1999). Coherent measures of risks. Mathematical Finance 9:203-228.
- Delbaen, F. (2002). Coherent risk measure on general probability spaces. Advances in Finance and Stochastics-Essays in Honour of Dieter Sondermann, Eds. K. Sandmann, P. J. Schonbucher, Springer-Verlag, Berlin, 1-37.
Here are the talk slides