Grant: Discovery Grants Program - Individual
Université du Québec à Montréal
$12,000.00
Univariate and multivariate risk measures
EF 2012-13
Résumé
The proposed research program aims at analyzing mathematical properties of risk measures, and their extensions to higher dimensions.
The general objectives are the following: first, to analyze properties of univariate risk measures, and to extend them to dynamic models, and to study possible applications either to financial portfolio,
or to actuarial risks.
Secondly, to study multivariate extensions, including a more systematic analysis of standard multivariate copulas (and more specifically those based on mu-quantile), and a statistical analysis of multivariate risk measure estimation.
Finally, applications of multivariate risks measures will be investigated, and more specifically axiomatic of capital allocation, with a particular interest to multi-period dynamic allocations.
Programme
Discovery Grants Program - Individual
Bénéficiaire
Emplacement
Quebec, Canada
Type de bénéficiaire
Academia
Type
Grant
Source
NSERC's Awards Data
Tel que publié
Application id
418346-2012
Name nom
Charpentier, Arthur
Department département
Mathématiques
Organization id
57
Institution établissement
Université du Québec à Montréal
Province en
Québec
Province fr
Québec
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2012
Competition year année de concours
2012
Award amount
12000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
1205
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Mathematical sciences
Area of application fr
Sciences mathématiques
Research subject code
2960
Research subject group en
Applied mathematics
Research subject group fr
Mathématiques appliquées
Research subject en
Mathematical modelling
Research subject fr
Modélisation mathématique
Partie
1
Nb partie
5
Application title
Univariate and multivariate risk measures
Keyword
NSERC
Application summary
The proposed research program aims at analyzing mathematical properties of risk measures, and their extensions to higher dimensions.
The general objectives are the following: first, to analyze properties of univariate risk measures, and to extend them to dynamic models, and to study possible applications either to financial portfolio,
or to actuarial risks.
Secondly, to study multivariate extensions, including a more systematic analysis of standard multivariate copulas (and more specifically those based on mu-quantile), and a statistical analysis of multivariate risk measure estimation.
Finally, applications of multivariate risks measures will be investigated, and more specifically axiomatic of capital allocation, with a particular interest to multi-period dynamic allocations.
