Program for stream Set Valued Models in Finance

TA-16: Computational Methods in Multivariate Statistics/Finance
Stream: Set Valued Models in Finance
Room: U264 (building U-wing)
Chair(s): Daniel Kostner, Daniela Visetti

• Fast computation of Tukey trimmed regions and median in higher dimensions
  Pavlo Mozharovskyi, Xiaohui Liu, Karl Mosler
• On Duality in Polyhedral Projection Problems
  Benjamin Weißing
• Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
  Tobias Fissler

TB-16: Recent advances in multiobjective optimization and insurance
Stream: Set Valued Models in Finance
Room: U264 (building U-wing)
Chair(s): Elisa Mastrogiacomo, Asmerilda Hitaj

• Co-jumps and recursive preferences in portfolio choices
  Immacolata Oliva
• Comparison of discretization approaches for the approximate evaluation of the distribution of the random sum of iid random variables
  Alessandro Barbiero, Asmerilda Hitaj
• Asset allocation for life insurance portfolio under Solvency II using artificial intelligence.
  Anna Maria Gambaro
• Multiobjective stochastic problems and their connections with multivariate risk measures
  Elisa Mastrogiacomo

TC-16: Set- and Vector-Valued Models in Risk Management
Stream: Set Valued Models in Finance
Room: U264 (building U-wing)
Chair(s): Tobias Fissler

• Elicitability of set-valued functionals
  Jana Hlavinová, Tobias Fissler, Birgit Rudloff
• Intrinsic measures of systemic risk
  Alexander Smirnow, Jana Hlavinová, Birgit Rudloff
• Computing systemic risk measures via mixed-integer linear programming
  Cagin Ararat, Nurtai Meimanjan
• Acceptability Maximization
  Gabriela Kovacova, Birgit Rudloff, Igor Cialenco

TD-16: Risk Management for Insurance
Stream: Set Valued Models in Finance
Room: U264 (building U-wing)
Chair(s): Mario Sikic

• On corporate demand for insurance: a dynamic perspective on property insurance
  Mario Sikic
• A decomposition of general premium principles into risk and deviation
  Max Nendel
• Distributionally robust liability-driven pension fund management
  Asmerilda Hitaj, Giorgio Consigli, Rui Gao, Anton Kleywegt