In this seminar we discuss about the notion of risk measures which has recently found applications in a number of areas of decision making such as economics, finance, insurance and engineering design and planning. We first present some basic risk measures related concepts and definitions including axiomatic approaches to risk measures. Then, we investigate desirable characteristics of a risk measure. We review several important risk measures and their properties. Finally, we present some applications of risk measures in portfolio optimization, the newsboy problem, inventory control in failure prone manufacturing systems and location-routing problems in the presence of disruption.
Group for Research in Decision Analysis