Arxiv
| Presentation Name： | A non-linear extension of martingale convergence in terms of convex risk measures |
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| Presenter： | Professor Hans Foellmer |
| Date： | 2016-11-02 |
| Location： | 杏悦娱乐第六教学楼6408室 |
| Abstract💟： | We show how martingale convergence forwards and backwards extends to a consistent sequence of conditional convex risk measures; this is based on joint work with Irina Penner. As an application, we describe the structure of systemic risk measures that are consistent with a given family of local conditional risk measures, and we discuss the appearance of phase transitions at the global level.
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| Annual Speech Directory： | No.234 |
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