Avviso seminario pubblico della prof.ssa Valeria Bignozzi
ai sensi dell'art. 11, comma 1, lett. k) dello Statuto per la proposta di chiamata a Professore di ruolo di II Fascia per il GSD 13/STAT-01 (EX SC 13/D1) – Settore scientifico-disciplinare STAT-01/A (EX SSD SECS-S/01) - presso il Dipartimento di Metodi e modelli per l’economia il territorio e la finanza - Facoltà di Economia – codice concorso 2024PAE012.
10 aprile 2025, ore 9:30
Auletta Cristina Di Fresco IV piano
Via del Castro Laurenziano 9, Roma
Seminario ai sensi dell’art. 11, comma 1, lett. k) dello Statuto sull’attività di ricerca svolte e in corso di svolgimento
Relatore: Valeria Bignozzi
Titolo del seminario: 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
Il seminario potrà essere seguito anche a distanza accedendo al seguente link:
https://meet.google.com/ndv-wcju-vyw
Roma 31.03.2025
La Direttrice del Dipartimento
F.to Prof.ssa Donatella Strangio