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Séminaire du GERAD

Optimization based risk measures

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13 nov. 2019   10h45 — 12h00

Mélina Mailhot Professeure adjointe, Département de mathématiques et de statistique, Université Concordia, Canada

Mélina Mailhot

Risk measures arise as a natural representation of one's preference towards risky scenarios. All insurable risks, such as natural disasters, need to be assessed by means of risk measures. In health science, risk measures are used for protocol developments. Several risk measures and applications will be presented. The focus will be brought to those which can be solve with optimization functions. Univariate and multivariate contexts will be considered.

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Olivier Bahn responsable

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Salle 4488
Pavillon André-Aisenstadt
Campus de l'Université de Montréal
2920, chemin de la Tour Montréal QC H3T 1J4 Canada