Speaker :
 Professor Brice Franke (Universite de Bretagne Occidentale ) 
Title :

On the worst case value at risk for a joint law with known marginals and 
Time :
 20120312 (Mon) 14:10  
Place : 
Seminar Room 722, Institute of Mathematics (NTU Campus) 
Abstract: 
The probability for to be larger than a certain value
depends on the
joint law of and . In case the marginal distributions of and
are known, one can use a duality theorem to find minimizers of the
probability of
being larger than . In this talk we want to study the case when some
additional information on the covariance is available. 