New Risk Measures in Economics

2-5 April 2012 - Peter Kischka


On April 2-5, 2012 Peter Kischka (Friedrich-Schiller-Universität Jena) will be at the Department of Mathematics and will give a series of lectures on “New Risk Measures in Economics”.

Monday 2 April, 14.30–17.30, room 1BC45
Tuesday 3 April, 14.30–17.30, room 1BC45
Wednesday 4 April, 14.30–17.30, room 1BC45
Thursday 5 April, 14.30–17.30, room 1BC45

In this lecture some new concepts of risk measuring are presented. The results are applied to a basic model of inventory management (newsvendor model).

Chapter 1 - Basics of decision theory
1.1 Notions of risk
1.2 Risk aversion
1.3 Optimal decisions under risk and uncertainty

Chapter 2 - Newsvendor model
2.1 Standard newsvendor model
2.2 Solution concepts
2.3 Extensions of the standard model

Chapter 3 - Coherent risk measures
3.1 Definition
3.2 Law invariant measures
3.3 Mean deviation rules
3.4 Application to the newsvendor model

Chapter 4 - Spectral risk measures
4.1 Definition
4.2 Spectral risk measures and dual utility theory
4.3 Application to the newsvendor model

Chapter 5 - Convex risk measures
5.1 Definition
5.2 Law invariant convex risk measures
5.3 Application to the newsvendor model

-Basic literature
Szegö, G. (ed.), "Risk Measures for the 21. century", Wiley, 2004
Porteus, E. L., "Foundations of Stochastic Inventory Theory", Stanford University Press, 2002

Rif. int. A. Buratto