| Presentation Name🧗♂️： | Risk Measures with Comonotonic Subadditivity or Convexity and Respecting Stochastic Orders |
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| Presenter👨👧☁️： | 严加安 院士 |
| Date： | 2007-11-21 |
| Location： | 光华东主楼1801 室 |
| Abstract📈： | Taking subadditivity as a main axiom Artzner et.al.(1997, 1999) introduced the so-called coherent risk measures. Song and Yan (2006) introduced risk measures which are comonotonically subadditive or convex. In this talk I will present a recent work with Yongsheng Song, in which we proposed some new risk measures, which are not only comonotonically subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order..
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| Annual Speech Directory： | No.125 |
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