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Séminaire du GERAD
Optimization based risk measures
Mélina Mailhot – Professeure agrégée, Département de mathématiques et de statistique, Université Concordia, Canada
Risk measures arise as a natural representation of one's preference towards risky scenarios. All insurable risks, such as natural disasters, need to be assessed by means of risk measures. In health science, risk measures are used for protocol developments. Several risk measures and applications will be presented. The focus will be brought to those which can be solve with optimization functions. Univariate and multivariate contexts will be considered.
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Olivier Bahn
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Salle 4488
Pavillon André-Aisenstadt
Campus de l'Université de Montréal
Pavillon André-Aisenstadt
Campus de l'Université de Montréal
2920, chemin de la Tour
Montréal QC H3T 1J4
Canada
Montréal QC H3T 1J4
Canada