Workgroup Financial Mathematics
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Program

Day 1 - DECEMBER 13, 2010:

  • 10:00 Introductions (Francesca Biagini/Andreas Richter)

RISK MEASURES:

  • 10:15 Hans Föllmer (HU Berlin), "Capital Requirements and Preferences in the face of Risk, Model Risk and Knightian Uncertainty" (abstract)
  • 11:00 Michael Kupper (HU Berlin), "Risk Preferences and their Robust Representation" (abstract)
  • 11:45 Stefan Weber (Uni Hannover), "Stochastic Root Finding and Efficient Estimation of Utility-Based Shortfall Risk" (abstract)

12:30 LUNCH

RISK ATTITUDES I - Theory:

  • 14:00 Louis Eeckhoudt (Univ Lille) & Harris Schlesinger (Univ Alabama), "Higher Order Risk Attitudes" (abstract)
  • 14:45 Ilia Tsetlin (INSEAD Singapore), "Combining Good with Bad: The Multiattribute Case" (abstract)

15:30 BREAK

RISK ATTITUDES II - Applications:

  • 16:00 Christian Gollier (Univ Toulouse), "Discounting, Inequalities and Convergence" (abstract)
  • 16:45 Beatrice Rey-Fournier (Univ Lyon),  "Priority Setting in Health Care and Prevention Decisions" (abstract)

RISK MEASURES AND RISK ATTITUDES:

17:30 First Day Wrap-Up (Hans Föllmer/Louis Eeckhoudt/Harris Schlesinger)



Day 2 - DECEMBER 14, 2010:

RISK ATTITUDES III - Experimental Evidence:

  • 09:30 Daniel Wiesen & Sebastian Ebert (Uni Bonn), "Testing for Prudence and Third-Order Preferences"
  • 10:15 Johannes Maier (LMU) & Max Rueger (Uni Augsburg), "Experimental Evidence on Higher Order: Risk Preferences"

11:00 BREAK

  • 11:15 Concluding Discussion -- Where do we go from here?

12:15 LUNCH (on your own!)

END