[STAT/AP] AJ (Gusti) van Zyl: Distributional robustification of coherent risk measures on C_b(X)

21 oktober 2024 15:45 t/m 16:45 - Locatie: EEMCS Lecture Hall F | Zet in mijn agenda

Risk measures on the space of bounded continuous functions C_b(X), where X is a Polish space, and their dual representation sets, have recently been studied in the literature. We define distributionally robustified versions of such risk measures. In this setup, with an uncertainty set of probability measures on X, the robustified version of a coherent risk measure is coherent. We discuss the dual representation set of the robustified measure, and an example.