Mathematics Colloquium
Tolulope Fadina
University of Essex
Title: Measures of Risk under Uncertainty
Date: Monday, January 09, 2023
Place and Time: fsu.zoom.us/s/97976878227, 3:05-3:55 pm
Abstract.
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable, but also various economic scenarios. Motivated by this observation, we design a unified axiomatic framework for risk evaluation principles which quantifies jointly a loss random variable and a set of plausible probabilities. We call such an evaluation principle a generalized risk measure, and present a series of relevant theoretical results.