[Turkmath:5766] İ.Ü. Matematik Bölüm Semineri

[TEMHA ERKOÇ YILMAZTÜRK]

Merhabalar,

05.10.2022  tarihinde  saat 14.00 te   Nazarbayev Üniversitesinden  Dr.
Öğr. Üyesi Kerem Uğurlu  başlık ve özeti aşağıda verilen bir konuşma
yapacaktır. Seminer Zoom programı üzerinden online yapılacaktır. Katılmak
isteyenlerin katılım bilgilerini alabilmeleri için "
huseyinuysal at istanbul.edu.tr " adresine mail atmaları gerekmektedir.


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*Başlık:* A new coherent multivariate average-value-at-risk

*Özet: *A new operator for handling the joint risk of different sources has
been presented and its various properties are investigated. The problem of
risk evaluation of multivariate risk sources has been studied, and a
multivariate risk measure, so-called multivariate average-value-at-risk,
mAVaRα, is proposed to quantify the total risk. It is shown that the
proposed operator satisfies the four axioms of a coherent risk measure
while reducing to one variable average-value-at-risk, AVaRα, in case N = 1.
In that respect, it is shown that mAVaRα is the natural extension of AVaRα
to the N-dimensional case maintaining its axiomatic properties. The
framework is applicable for Gaussian mixture models with dependent risk
factors that are naturally used in financial and actuarial modelling.
Examples with numerical simulations are also illustrated throughout.
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İyi Günler dilerim.
Temha

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