Tuesday, October 12, 2021 - 16:30 in V10-122
Max-stable risk measures
A talk in the Other series by
Michael Kupper from University of Konstanz
| Abstract: |
We focus on representation results of max-stable monetary risk measures by means of maxitive integrals and the respective concentration functions.
As an application, we discuss the connection to large deviations, in particular the equivalence between the Large Deviation Principle and the Laplace Principle.
The talk is based on joint works with Jose Miguel Zapata.
Within the CRC this talk is associated to the project(s): C3, C5 |
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