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PRODID:-//Dipartimento di Economia - ECPv5.4.0//NONSGML v1.0//EN
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X-WR-CALNAME:Dipartimento di Economia
X-ORIGINAL-URL:https://www.eco.uninsubria.it/site
X-WR-CALDESC:Eventi per Dipartimento di Economia
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TZID:Europe/Rome
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TZOFFSETFROM:+0100
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TZNAME:CEST
DTSTART:20190331T010000
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DTSTART:20191027T010000
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BEGIN:VEVENT
DTSTART;TZID=Europe/Rome:20190906T153000
DTEND;TZID=Europe/Rome:20190906T163000
DTSTAMP:20210307T005943
CREATED:20190822T092526Z
LAST-MODIFIED:20190822T092526Z
UID:4726-1567783800-1567787400@www.eco.uninsubria.it
SUMMARY:Seminar: Large deviations for risk measures in finite mixture models
DESCRIPTION:On September 6\, 2019\, 15.30-16.30\, Prof. Claudio Macci (University of Tor Vergata\, Dept. of Mathematics) will give a talk on “Large deviations for risk measures in finite mixture models” (joint with Valeria Bignozzi and Lea Petrella). \n \nAbstract \nDue to their heterogeneity\, insurance risks can be properly described as a mixture of different fixed models\, where the weights assigned to each model may be estimated empirically from a sample of available data. If a risk measure is evaluated on the estimated mixture instead of the (unknown) true one\, then it is important to investigate the committed error. In this paper we study the asymptotic behaviour of\nestimated risk measures\, as the data sample size tends to infinity\, in the fashion of large deviations. We obtain large deviation results by applying the contraction principle\, and the rate functions are given by a suitable variational formula; explicit expressions are available for mixtures of two models. Finally\, our results are applied to the most common risk measures\, namely the quantiles\, the expected shortfall and the shortfall risk measure. \n
URL:https://www.eco.uninsubria.it/site/event/seminar-large-deviations-for-risk-measures-in-finite-mixture-models/
LOCATION:Sala Seminari\, via monte generoso\, 71\, Varese\, 21100\, Italia
CATEGORIES:seminar
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