Talk from Archives

Max-stable risk measures and large deviations

20.01.2020 16:45 - 17:45

In this talk we focus on max-stable monetary risk measures and their applications. In particular, we discuss large deviation theory built on max-stability. We show the equivalence between the large deviation principle for max-stable risk measures and the respective Laplace principle. The results are illustrated with the asymptotic shortfall risk measure. The talk is based on joint work with Jose Miguel Zapata.

Location:
HS 7 OMP1