STAR seminar: Emanuela Rosazza Gianin
The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Emanuela Rosazza Gianin (University of Milano Bicocca)
Title: Generalized PELVE and applications to risk measures
Abstract: The continuing evolution of insurance and banking regulation has raised interest in the calibration of different risk measures associated with suitable confidence levels. In particular, Li and Wang (2019) have introduced a probability equivalent level (called PELVE) for the replacement of Value at Risk with Conditional Value at Risk.
In this talk, we propose two alternative generalizations of PELVE (distorted PELVE and generalized PELVE) by means of distortion functions in the former case, while to more general pairs of risk measures in the latter. Conditions for the existence and uniqueness of distorted and generalized PELVE and additional properties for specific families of risk measures are discussed.
A study of Generalized Pareto Distributions reveals an interesting correspondence between PELVE and generalized PELVE, and explores their relationship with the tail index. An empirical application illustrates the usefulness of (generalized) PELVE in characterizing tail behavior not only for individual asset returns, but also for possible portfolio combinations.
Based on a joint work with Anna Maria Fiori.
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.