O Professor Antonio Heras, Catedrático da Universidade Complutense de Madrid, irá proferir um seminário na próxima quarta-feira, dia 13, das 14:00 às 15:00, na sala 1.6 do Edifício VII, com o tema "About the application of risk measures in actuarial problems".
Abstract:
In the seminar we will review the definition and main properties of modern risk measures such as the coherent measures, as well as their application to three important actuarial problems: the calculation of capital requirements, the premium calculation and the optimal reinsurance design. We will propose a two-step methodology, in which the risk measure gives rise to the decision principle to be used in the problem.