Risk Measures with Comonotonic Subadditivity and Respecting Stochastic Orders
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Date: 09-18-2007
Start Time:
1:00pm
End Time: 2:00pm
Speaker: Jia-an Yan, Chinese Academy of Science
Location: Mudd 303
ABSTRACT
Taking subadditivity as a main axiom Artzner et.al.(1997, 1999)
introduced the so-called coherent risk measures. Song and Yan (2006)
introduced risk measures which are comonotonically subadditive or
convex.
In this talk we introduce risk measures which are not only
comonotonically subadditive or convex, but also respect the (first)
stochastic dominance or stop-loss order, and give their representations
in terms of Choquet integrals w.r.t. distorted probabilities. This talk
is based on a recent work with Yongsheng Song.
BIO
Professor Jia-an Yan was born in Jiangsu province, China, in December 6, 1941. He was graduate from the Chinese University of Science and Technology in 1964. He is a professor of the Academy of Mathematics and Systems Science, Chinese Academy of Sciences.He was elected Member of the Chinese Academy of Sciences in 1999. He has made several fundamental contributions to martingale theory, stochastic analysis and white noise analysis. He is an author or co-author of 9 mathematical books (3 in English, 6 in Chinese) and more than 80 research papers. He is an editor of Acta Mathematicae Applicatae Sinica. He serves or served as associate editors for several international journals, including Annals of Probability, Stochastic Analysis and Applications, Journal of Computational and Applied Mathematics.