professor Damir Filipovic from Vienna Institute of Finance is giving a VGSF research seminar on "Non-Monotone Risk Measures and Monotone Hulls" on November 9 (Friday, 15:30-17:00), at the Institute for Advanced Studies(HS II), Stumpergasse 56, 1060 Vienna. The talk is based on two papers, which can be downloaded at the VGSF webpage (Activities & Events--> Research Seminars). The titles and abstracts of these two papers are attached below.
Kind regards,
Youchang Wu
Monotone and Cash-Invariant Convex Functions and Hulls (with Michael
Kupper), Insurance: Mathematics and Economics 41, 1-16, 2007
This paper provides some useful results for convex risk measures.
In fact, we consider convex functions on a locally convex vector space
E which are monotone with respect to the preference relation implied
by some convex cone and invariant with respect to some numeraire
(“cash”). As a main result, for any function f, we find the greatest
closed convex monotone and cash-invariant function majorized by f.
We then apply our results to some well-known risk measures and problems
arising in connection with insurance regulation.
A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth),
forthcoming in Insurance: Mathematics and Economics
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent
measure of risk as introduced in Artzner et al. [1, 2]. We provide a simple example
which shows that it does not satisfy the axiom of monotonicity. We then find, as a
monotonic alternative, the greatest coherent risk measure which is majorized by the
Swiss Solvency Test risk measure.