Montag, 20. Januar 2020, 16:45 - 17:45 iCal

ISOR Colloquium

"Max-stable risk measures and large deviations"

Speaker: Michael Kupper (Univ. Konstanz)

HS 7 OMP1 (#1.303, 1st floor)
Oskar-Morgenstern-Platz 1, 1090 Wien


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.

Zur Webseite der Veranstaltung


Institut für Statistik und OR


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651