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UID:20250710T031236EDT-1102wOwtm1@132.216.98.100
DTSTAMP:20250710T071236Z
DESCRIPTION:Title: The distortion premium: properties\, robustness and appl
 ications in energy markets.\n\nAbstract: This talk focuses on pricing insu
 rance contracts with the distortion premium under model ambiguity. In most
  of the cases real distributions of a random losses are unknown and premiu
 ms are calculated using the best models we have\, called baseline models. 
 For the calculation of a robust premium\, we calculate the distortion prem
 ium over a set of distributions\, called ambiguity sets. In this talk we d
 efine them as balls around the baseline model where the radii are measured
  with the Wasserstein distance. Exact values of the robust distortion prem
 ium are calculated and worst case solutions are found under some assumptio
 ns\, when this is not possible approximations of the worst case solution a
 re presented. In addition\, we propose a procedure for the identification 
 of the distortion premium from observed prices. We use this methodology in
  the framework of futures in energy markets. Given that electricity is a n
 on-storable commodity\, futures in this market do not have a clear valuati
 on. We assume these prices are calculated following the distortion premium
 . More precisely\, we also add a shift parameter and ambiguity premium for
  model misspecifications\, i.e.\, futures here are priced with robust shif
 ted distortion premiums. Distortion densities together with the shift para
 meters and ambiguity radii are successfully recovered. From these results 
 we can interpret the positions of different participants in the market as 
 well as the dynamics of the risk premia in this market.\n
DTSTART:20190516T191500Z
DTEND:20190517T201500Z
LOCATION:Room LB 921-4\, CA\, Concordia University\, Pavillon J.W. McConnel
 l (Library)
SUMMARY:Debora Daniela Escobar (University of Vienna)
URL:/mathstat/channels/event/debora-daniela-escobar-un
 iversity-vienna-297059
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