Seminar by Zachary Van Oosten

Partially Law-Invariant Risk Measures

In this talk, we introduce partially law-invariant risk measures, which extend law-invariant risk measures used in statistical and financial applications. Motivated by decision-making under uncertainty, we provide examples and connect this concept to the existing literature. Afterward, we fully characterize partially law-invariant coherent risk measures with a novel dual representation formula. This will lead to a discussion exploring its relationship with the classic dual representation formula for law-invariant coherent risk measures. We conclude the talk by giving concrete examples of partially law-invariant coherent risk measures used on real financial data.