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Joint Risk & Stochastics and Financial Mathematics Seminar

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The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place on Thursdays from 12.00 - 13.00 in room NAB.1.09 (New Academic Building, LSE), unless stated below. Follow this link for a map of the School|.

The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend.

Please contact the seminar administrator on seminar@maths.lse.ac.uk| for further information about any of these seminars.

Upcoming Speakers:

Thursday 30 October – Samuel Drapeau| (Humboldt Universität zu Berlin)
Numerical representation of convex preferences on Anscombe–Aumann acts


We study the preferences of agents for diversification and better outcomes when they are facing both, in Frank Knight's formulation, measurable as well as unmeasurable uncertainty.

Following Anscombe and Aumann, such a situation can be modeled by preferences expressed on stochastic kernels, that is scenario dependent lotteries.

By means of automatic continuity methods based on Banach-Dieudonné's Theorem on Fréchet spaces, we provide a robust representation.

This gives us some insight into the nature of uncertainty aversion these preferences are expressing.

We further investigate under which conditions these two intricate dimensions of uncertainty can be disentangle into a distributional uncertainty, in the direction of von Neumann and Morgenstern's theory, and a probability model uncertainty, in the spirit of risk measures.

These results allow in particular to address both Allais as well as Elsberg's paradox.


Joint work with P. Cheridito, F. Delbaen, and M. Kupper.


Thursday 13 November - speaker, title and abstract TBC


Thursday 20 November - Sergio Pulido| (École Polytechnique Fédérale de Lausanne (EPFL), Swiss Finance Institute)
Title and abstract TBC


Thursday 27 November - Jan-Henrik Steg| (Universität Bielefeld)
Title and abstract TBC


Previous Seminars: