PIMS/AMI Seminar: Takuji Arai
Date
-
Topic
“Convex Risk Measures for Cadlag Processes on Orlicz Hearts”
Speakers
Details
Abstract
Convex risk measures on spaces of c\`adl\`ag processes whose supremum belongs to an Orlicz heart are discussed. We obtain representations of linear functionals on such spaces, and introduce some examples of convex risk measures. In addition, we deal with convex risk measures associated to hedging and pricing for American options. Among others, we look into shortfall risk measure in detail. We also give some remarks on convex risk measures treated in this talk.
Refreshments will be served in CAB 649 at 2:30 p.m.
Convex risk measures on spaces of c\`adl\`ag processes whose supremum belongs to an Orlicz heart are discussed. We obtain representations of linear functionals on such spaces, and introduce some examples of convex risk measures. In addition, we deal with convex risk measures associated to hedging and pricing for American options. Among others, we look into shortfall risk measure in detail. We also give some remarks on convex risk measures treated in this talk.
Refreshments will be served in CAB 649 at 2:30 p.m.
Additional Information
Location: CAB 657
For more information please visit University of Alberta.
Professor Takuji Arai
Department of Economics
Keio University, Tokyo
