Heath Lectures, May 15-19, 2006

Description of the workshop

Each speaker will give five 90-minute lectures over the course of the five days. Some of the lectures will be tutorial. The approximate plan of the lectures:

RISK MEASUREMENT AND MANAGEMENT

Plan of the lectures given by Freddy Delbaen

1. Monetary utility functions on L-infinity and their representations, the coherent and the concave case, the Fatou property and the weak compactness property.
2. The relation with VaR and some examples. The extension to spaces of non-integrable random variables.
3. Capital allocation problems and exposed points, the problem of differentiability.
4. The inf-convolution and the Fatou property. Dynamic risk measures.
5. Different characterizations of time consistency. The case of Brownian Motion and BSDE.

Plan of the lectures given by Alexander Schied

1. Structure theorems for TailVaR and general law-invariant risk measures.
2. Risk measures in financial markets.
3. Quantification of model risk in finance and economics.
4. Optimal investments under model uncertainty: complete market.
5. Optimal investments under model uncertainty: incomplete market.

Time and place

Every day's schedule:

1:30-3 pm: Freddie Delbaen
3-3:30 pm: coffee break
3:30-5 pm: Alexander Schied

Registration

While there is no fee for attending the workshop we kindly ask the participants to register by sending an e-mail to Ferna Hartman (fill the subject field with "registration for Heath lectures"). This should help us to plan the event.

Out of Pittsburgh participants

Out of Pittsburgh participants are welcome, but have to organize themselves their travel and accommodation. Useful information can be found on http://www.cmu.edu/visit/. Do not forget to register!

Conference dinner

There will be a conference dinner on Thursday, May 18. The time and venue will be announced.