中文无码

报告人：胡亦钧 教授（武汉大学）

时间：2025年06月25日 11:00-

地点：中文无码 LD402

摘要：In this talk, I will present a novel axiomatic framework ofmeasuringtherisk of a financial positionunder model uncertainty. Precisely,we use an auxiliary random variable to describethe model uncertainty.We first establish a conditional distortion risk measure under an auxiliary random variable. Then we axiomatically characterize itbyproposing a set of new axioms.Finally, we make comparisons with some known risk measures such as weighted value at risk (WVaR), range value at risk (RVaR) and Q-mixtureofexpected shortfall (ES). One advantage of our modeling is in its flexibility, as the auxiliary random variable can describe various contexts includingmodel uncertainty. To illustrate the proposed framework, we also deduce new risk measures in the presence of background risk.

邀请人：张志民

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