Friday, May 31, 2019

Friday, May 31, 2019 — 10:30 to 10:30 AM EDT
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Worst-case risk measures and distributionally robust optimization

Distributional ambiguity refers to the situation where the probability distribution of uncertain outcomes is unknown. The question of how to account for distributional ambiguity has been of central interest in risk management, and more generally, many fields involving decision making under uncertainty. In this talk, we present a general framework of risk minimization based on distortion risk measures (also known as dual utility) and show how the worst-case risk can be evaluated when only the support and moments are known for the underlying distribution. We also show that the problem of minimizing the worst-case risk, also known as distributionally robust optimization (DRO) problem, can be solved efficiently in large scale for a large class of decision problems including portfolio optimization, production and transportation planning, among many others. Worst-case distributions, i.e. distributions attaining the worst-case risk, are characterized, which offer useful intuition about the worst-case scenarios. 

Friday, May 31, 2019 — 6:00 PM EDT
MACTSC 10th Anniversary banner

In 2019, the Master of Actuarial Science (MActSc) professional degree program will be celebrating 10 wonderful years at the University of Waterloo. 

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