Distribution-based Risk Measures and Their Implementation

Speaker(s): 
Stefan Weber (Leibniz Universität Hannover)
Date: 
Wednesday, February 12, 2014 - 6:00pm
Location: 
TU Berlin, Raum MA 041, Straße des 17. Juni 136, 10623 Berlin

Banks and insurance companies typically use distribution-based risk measures for the evaluation of their downside risks. The statistical and numerical properties of these functionals are thus important. Recently, some authors emphasized the significance of the elicitability of risk measures, a notion closely related to Huber's M-estimators. The talk characterizes elicitable distribution-based risk measures and explains their relationship to stochastic approximation theory.