Risk measures and making decision under uncertainty WSE-EKN-WMon
1. Risk measures and their properties
2. Financial models and their restrictions
3. Business overview of several scientific presentations / articles based on the example of actuarial presentations / articles
4. Decision making versus risk measures and theories of choice.
5. The theory of expected utility (von Neumann & Morgenstern, 1947)
6. Theory of unexpected utility, incl. prospect theory (Kahneman D., et al., 1979)
7. Yaari's Dual Theory (Yaari, 1987)
Economic capital allocation derived from risk measures.
J. Dhaene, M.J. Goovaerts & R. Kaas (2003). North American Actuarial Journal, 7 (2), 44-59.
Coherent distortion risk measures – a pitfall.
G. Darkiewicz, J. Dhaene & M. Goovaerts (2003). Proceedings of the Seventh International Congress on Insurance: Mathematics and Economics, Lyon.
A unified approach to generate risk measures.
M.J. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2003). ASTIN Bulletin, 33 (2), 173-192.
Some new classes of consistent risk measures.
M. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2004). Insurance: Mathematics and Economics, 34 (3), 505-516.
Risk measures and optimal portfolio selection (with applications to elliptical distributions).
J. Dhaene, E. Valdez, T. Hoedemakers (2004). Lecture Notes of the Third conference in Actuarial Science and Finance, Samos, Sep 6-8.
Distortion risk measures for sums of random variables.
G. Darkiewicz, J. Dhaene & M. Goovaerts (2004). Blaetter der DGVFM, XXVI (4), 631-641.
Capital requirements, risk measures and comonotonicity.
J. Dhaene, S. Vanduffel, Q.H. Tang, M. Goovaerts, R. Kaas & D. Vyncke (2004). Belgian Actuarial Bulletin, 4, 53-61.
Risk measures and dependencies of risks.
G. Darkiewicz, J. Dhaene & M. Goovaerts (2005). Brazilian Journal of Probability and Statistics, 19, 155-178.
Comparing approximations for risk measures of sums of non-independent lognormal random variables.
S. Vanduffel, T. Hoedemakers & J. Dhaene (2005). North American Actuarial Journal, vol. 9 (4), 71-82.
Risk measures and comonotonicity: a review.
J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, D. Vyncke & Q.Tang. (2006). Stochastic Models, 22, 573-606.
Risk measurement with equivalent utility principles.
M. Denuit, J. Dhaene, M. Goovaerts, R. Kaas & R. Laeven (2006). Statistics & Decisions, Vol. 24 (1), 1-25 .
Optimal approximations for risk measures of sums of lognormals based on conditional expectations.
S. Vanduffel, X. Chen, J. Dhaene, M. Goovaerts, L. Henrard & R. Kaas (2008). Journal of Computational and Applied Mathematics, 221(1), 202-218.
Can a coherent risk measure be too subadditive?
J. Dhaene, R. Laeven, S. Vanduffel, G. Darkiewicz & M. Goovaerts (2008). Journal of Risk and Insurance, 75(2), 365-386.
Remarks on quantiles and distortion risk measures.
J. Dhaene, A. Kukush, D. Linders & Q. Tang (2012). European Actuarial Journal, 2(2), 319-328. Also available at SSRN
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior.
R. Feng, X. Jing, J. Dhaene (2017). Journal of Computational and Applied Mathematics, 311, 272-292.
Systemic risk: Conditional distortion risk measures.
Dhaene J., Laeven R. & Zhang Y. (2019). Work in progress.
https://people.kth.se/~soh/decisiontheory.pdf
http://www.yorku.ca/ptryfos/ch3000.pdf
http://docplayer.pl/1989068-Miary-ryzyka-a-dualna-teoria-uzytecznosci-yaariego.html
https://core.ac.uk/reader/6929011
Edwards1954PsychBulletin.pdf (ucsd.edu)
http://probability.ca/jeff/ftpdir/anjali0.pdf
https://orion.journals.ac.za/pub/article/download/12/12/0
https://www.waynekhoy.com/wp-content/uploads/2018/11/Theory-of-Decison-Making.pdf
http://www.managementgeneral.ro/pdf/1_2014_10.pdf
https://www.coursehero.com/file/72019952/Lecture-3-Prospect-Theory-for-printingpdf/
http://web.mit.edu/curhan/www/docs/Articles/15341_Readings/Behavioral_Decision_Theory/Kahneman_Tversky_1979_Prospect_theory.pdf
https://www.scss.tcd.ie/khurshid.ahmad/Teaching/Behavioural_Finance/Lecture%205_Prospect_Theory.pdf
http://cejeme.org/publishedarticles/2017-10-18-636491886345937500-6664.pdf
https://pluto.mscc.huji.ac.il/~mswiener/research/PTandUT.pdf
https://nicholasbarberis.github.io/rt17b.pdf
http://www.cs.cornell.edu/courses/cs5846/2014sp/vNMEU.pdf
https://devel.isa-afp.org/browser_info/current/AFP/Neumann_Morgenstern_Utility/outline.pdf
http://www.columbia.edu/~md3405/BE_Risk_1_17.pdf
https://ocw.mit.edu/courses/economics/14-121-microeconomic-theory-i-fall-2015/lecture-slides/MIT14_121F15_5S.pdf
https://som.yale.edu/sites/default/files/files/01%20Utility%20Theory.pdf
https://nicholasbarberis.github.io/rt17b.pdf
(in Polish) E-Learning
(in Polish) Grupa przedmiotów ogólnouczenianych
Subject level
Learning outcome code/codes
Type of subject
Course coordinators
Learning outcomes
K01: Has a basic understanding of what risk measures are.
K02: He knows several risk measures.
K03: He knows several choice theories
K04: Can apply the selected theory of choice in simple situations
Assessment criteria
3 or 3+: active attendance and delivery of a personally made ppt consisting of 2 slides on the theory of choices
{4,4 +, 5} the above requirement and providing an interesting case study, group work, ppt length 8-16 pages
Practical placement
N/A
Bibliography
1. N.L. Bowers, H.U. Gerber, J.C. Hickman, D.A. Jones, C.J. Nesbit, Actuarial Mathematics, 1997
2. J. Jakubowski i R. Stencel, Wstęp do teorii prawdopodobieństwa, 2000
3. R. Kaas, M.Goovaerts, J. Dhaene, M. Denuit, Modern actuarial risk theory: using R, 2008
4. J.L. Teugels, & B. Sundt, Encyclopedia of Actuarial Science, 2004
5. Liczne artykuły z dziedziny aktuarialnej, np. grupy badawczej przy Jan Dhaene (K.U. Leuven)
6. B. Fischhofft, J.Kadvany, RISK A very short introduction, Oxford, 2011
7. J.C.Hull, Risk Management and Financial Institutions, Wiley, 2012
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: