FAM-ily  

Financial and Actuarial Mathematics  
at Vienna University of Technology, Austria  

 

Thursday - Seminar

Coherent Risk Measures on General Probability Spaces



Time. Thursday, 16.30 - 18.00
Location. TU, Turm A, 6th floor, Seminarraum 107
Aim. In our seminar we want to discuss:

Freddy Delbaen: Coherent Risk Measures on General Probability Spaces in: K. Sandmann and P. J. Schönbucher (eds.), "Advances in Finance and Stochastics. Essays in Honour of Dieter Sondermann", Springer, 2002, 1--38.
Preprint: https://people.math.ethz.ch/~delbaen/


DateSubjectSpeaker
17.10.2002 (Seminarraum 105)Coherent measures of riskTanja Veza

As a preparation, we will start by going through: Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David: Coherent measures of risk. Math. Finance 9, 1999, 203--228.

31.10.2002Coherent measures of riskFriedrich Hubalek
07.11.2002Coherent Risk Measures on General Probability SpacesJohanna Gaier

We begin with the paper Coherent Risk Measures on General Probability Spaces by Delbaen.

21.11.2002Coherent Risk Measures on General Probability SpacesEva Strasser
05.12.2002Coherent Risk Measures on General Probability SpacesChristopher Summer