Workshop on Optimality of Payoffs and Risk Aggregation
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filed under:
Workshop
| What |
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|---|---|
| When |
Aug 27, 2013 from 02:00 PM to 07:30 PM |
| Where | University of Freiburg, Mathematical Institute, Eckerstr. 1, Room 404, 79104 Freiburg i. Br. (Germany) |
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Subject of the workshop are recent developments on the construction of improved payoffs and on improved bounds for risk aggregation.
Program
| 14:00–15:00 | Ludger Rüschendorf (Freiburg) Risk bounds, worst case dependence and optimal claims and contracts |
| 15:00–16:00 | Viktor Wolf (Freiburg) Optimality of payoffs in Lévy models |
| 16:00–16:30 | Coffee Break |
| 16:30–17:30 | Carole Bernard (Waterloo) Optimal payoffs under state dependent constraints |
| 17:30–18:30 | Steven Vanduffel (Brussels) Value-at-Risk aggregation when the variance of the portfolio sum is known |
Organizer:
Event Venue
Albert Ludwigs University of Freiburg
Department of Mathematical Stochastics
Eckerstr. 1, Room 404
79104 Freiburg i. Br. (Germany)
Map of the Natural Sciences Campus (No. 2)
Information or registration under sekretariat@stochastik.uni-freiburg.de