Department seminar by Niushan Gao, Ryerson UniversityExport this event to calendar

Friday, May 10, 2019 — 10:30 AM EDT

SURPLUS-INVARIANT RISK MEASURES ON ROBUST MODEL SPACES


In this talk, we present a systematic study of the notion of surplus invariance. In essence, the property of surplus invariance stipulates that whether or not a financial institution is adequately capitalized from a regulatory perspective should not depend the surplus profile of the company but only on its default profile. Besides providing a unifying perspective on the existing literature, we establish a variety of new results including dual representations and extensions of surplus-invariant risk measures and structural results for surplus-invariant acceptance sets. The power of our results is demonstrated in model spaces with a dominating probability, including Orlicz spaces, as well as in robust model spaces where a dominating probability does not exist.

This talk is based on joint work with Cosimo Munari.

Location 
M3 - Mathematics 3
Room: 3127
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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