Notice of public seminar by Prof. Valeria Bignozzi
pursuant to art. 11, paragraph 1, letter k) of the Statute for the proposed call for Associate Professor with tenure for the GSD 13/STAT-01 (formerly SC 13/D1) – Scientific-disciplinary sector STAT-01/A (formerly SSD SECS-S/01) - at the Department of Methods and models for economics, territory and finance - Faculty of Economics – competition code 2024PAE012.
April 10, 2025, 9:30 a.m.
Cristina Di Fresco Room 4th floor
Via del Castro Laurenziano 9, Rome
Seminar pursuant to art. 11, paragraph 1, letter k) of the Statute on research activities carried out and in progress
Speaker: Valeria Bignozzi
Title of the seminar: Fair valuation under parameter uncertainty
Abstract
In the intense debate on risk measure properties, large attention has been recently devoted to elicitability. A statistical functional is elicitable, if it can be written as the minimiser of an expected loss function; the mean, the quantile and the expectile are prominent examples. Elicitability is also related to the idea of regression, indeed the loss function can be used to measure the “distance” between a given variable Y and a regression function. These concepts have been employed for fair valuation in actuarial mathematics, where the expected loss function is used to find a portfolio that is as close as possible to an insurance liability, while having a residual risk of zero. In this work we use elicitability to find the risk estimator that best approximate a financial loss in a context of model uncertainty. When the probability distribution of the loss is unknown, the risk measure is estimated based on (historical) data and takes different values depending on the realisation of the sample used. Our goal is to find the best strategy/risk measure estimator that also reflects the riskiness arising from distribution uncertainty. In particular, focusing on the family of location-scale distributions, we consider elicitable risk measures and different estimators, we study their properties and evaluate their accuracy.
Based on a joint work Salvatore Scognamiglio and Andreas Tsanakas
The seminar can also be followed remotely by accessing the following link:
https://meet.google.com/ndv-wcju-vyw
Rome 31 March 2025
The Director of the Department
Signed by Prof. Donatella Strangio