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 $X+Y$ to be larger than a certain value $\gamma$ depends on the joint law of $X$ and $Y$. In case the marginal distributions of $X$ and $Y$ are known, one can use a duality theorem to find minimizers of the probability of $X+Y$ being larger than $\gamma$. In this talk we want to study the case when some additional information on the covariance is available.