----------------------------------------------------------------------------------------------------

    Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong

----------------------------------------------------------------------------------------------------

Date: Friday, January 19, 4:30 pm – 5:30 pm

Venue: ERB 513, The Chinese University of Hong Kong

Title:On stability of functionals in quantitative risk management

Speaker: Prof. Henryk Zaehle, Saarland University

Abstract:

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.

Biography:

Henryk Zaehle received his M.Sc. in Mathematics from the University of Goettingen, Germany, in 2000 and his Ph.D. in Mathematics from the Technical University Berlin in 2004. During his doctoral studies, he spent eight months as a Marie Curie Fellow at the University of Warwick, UK. After postdoctoral research positions in Berlin and at the RWTH Aachen University, he was appointed Junior Professor at the Technical University Dortmund, Germany, in 2008. In 2010 he was appointed Professor and in 2014 Full Professor of Applied Mathematics at Saarland University, Germany. His research interests include mathematical statistics, monetary risk measurement, copulas and stochastic processes. From 2021-2023 he was Chairman of the Board of the German Association for Insurance and Financial Mathematics (DGVFM).

Everyone is welcome to attend the talk!

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk

Email: seem5202@se.cuhk.edu.hk