Statistics and Risk Management Seminar - 13/03/2013

Wednesday, 13 March 2013, 2:00 p.m.

Lecturer: Professor Antonio Heras, Catedrático da Universidade Complutense de Madrid

Title: "About the application of risk measures in actuarial problems".

Local: Room 1.6, Edifício VII
Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

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.