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 : 2012-03-12 (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.