Lunch Seminar MESIO UPC-UB (the last of the season)

Lunch Seminar MESIO UPC-UB (the last of the season)

Date:     11-05-2016
Hora:     14:00-15:00 (Pizza and drinks provided!)
Room:     Sala de Juntes de l’FME

Speaker:  Miguel Santolino
          Departament d'Econometria, Estadística i Economia Espanyola

Title:    Challenges in risk quantification

Abstract:
The choice of a risk measure is a major issue in decision-making in any areas including insurance, financial, health, safety, environmental, adversarial and catastrophic risks. Many different risk measures are available to practitioners, but the selection of the most suitable risk measure for use in a given context is generally controversial. We recently proposed a new class of four-parameter distortion risk measures called GlueVaR risk measures and their tail-properties were investigated. We showed that these GlueVaR risk measures could be matched to a wide variety of contexts comparing to traditional risk measures.
A key element in characterizing a risk measure is the underlying risk attitude that is assumed when this measure is used for risk assessment. We design a set of instruments which provide a precise portrait of the underlying risk position of a decision-maker when selecting a particular risk measure. There is a strong relationship between risk measures and capital allocation problems. Risk measures are often required to fulfill aggregation properties. Capital allocation problems fall on the disaggregation side of risk management. We explore the connection between capital allocation principles and compositional data.