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Saarland University Henryk Zähle教授学术讲座通知
发布时间 : 2024-01-25     点击量:

目:On stability of functionals in quantitative risk management  

时间:2024129日,上午10:00—11:00

地点:数学楼2-1

讲座内容:In quantitative risk management one is often faced with real-valued functionals defined on sets of probability measures on R^d. Examples include functionals associated with convex risk measures of aggregate risks and functionals associated with optimal values in stochastic (dynamic) programming problems. In this talk I will discuss four different notions of “stability” for such functionals: 1) continuity, 2) copula robustness, 3) statistical consistency and 4) statistical qualitative robustness. 

 

报告人简介:Henryk Zähle holds a Diploma in mathematics from the University of Gottingen (2000) and a Ph.D. in mathematics (with distinction) from the Technical University of Berlin (2004). Currently, he is a Full Professor (W3) for Applied Mathematics at Saarland University. Prior to this, he worked at institutions including TU Dortmund University, RWTH Aachen University, Allianz Private Health Insurance, Technical University Berlin, and University of Potsdam. He has been a Visiting Scholar at the University of Ottawa, a Marie Curie Scholar at the University of Warwick, and a DFG-Scholar at the Berlin Graduate School. His research interests span Mathematical Statistics, Monetary Risk Measures, Copulas, Markov Decision Models, Portfolio Optimization, and Stochastic Processes. Zähle has published numerous papers in journals like Bernoulli, Finance and Stochastics, and Mathematical Methods of Operations Research. He also serves as a Member of the Editorial Board of Metrika.

陕西省西安市碑林区咸宁西路28号     西安交通大学数学与统计学院

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