Fall 2007 Thursday, September 13   Jia-An Yan Academy of Mathematics and Systems Science Chinese Academy of Sciences "Some New Risk Measures and Their Representations in Terms of Choquet Integrals w.r.t. Distorted Probabilities" 3:00 Refreshments in 241 Schaeffer Hall 3:30 Talk in 140 Schaeffer Hall 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 we introduce risk measures which are not only comonotonically subadditive or convex, but also respect the first stochastic dominance or stop-loss order, and give their representations in terms of Choquet integrals w.r.t. distorted probabilities. This talk is based on a recent work with Yongsheng Song.

All talks are free and open to the public. To receive colloquium reminders via email, please send a request to statistics@uiowa.edu. The 37th Annual Craig Lectures will be on October 11 and 12. Our speaker this year is Nancy Reid from the University of Toronto. Past colloquia: Spring 2007 | Fall 2006 | Spring 2006 | Fall 2005 | Spring 2005 | Fall 2004 | Spring 2004 | Fall 2003 | Spring 2003 | Fall 2002 | Spring 2002 | Fall 2001 | Spring 2001 | Fall 2000 | Spring 2000 | Fall 1999 | Spring 1999 | Fall 1998 | Spring 1998

Copyright c. 2007 The University of Iowa. All Rights Reserved. Photography c. UI Photo Service and University Relations, University of Iowa This page was last modified on Tuesday, 30-Oct-2007 11:04:57 CDT. /ts