[SFdS] Information du groupe Risques AEF
WG Risk - 9th November 2023 - Dr. Gilles Mordant

Dear All,

We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, Fondation des Sciences de la Modélisation (CY - Labex MME-DII), the group Risques AEF (SFdS), to invite you to the seminar by:

Dr. Gilles Mordant
University of Göttingen, Germany

Date: Thursday, 9th November, at 12:30pm (Paris) and 6:30pm (Singapore)

Dual format: ESSEC Paris La Défense (CNIT), Room 237
and via Zoom, please click here (Password/Code : 751011)

« Optimal Transport-based inequality and risk measures »

Based on measure transportation ideas and the related concepts of center-outward quantile functions, we propose multiple-output center-outward generalizations of the traditional univariate concepts of Lorenz and concentration functions, and the related Gini and Kakwani coefficients. These new concepts have a natural interpretation, either in terms of contributions of central ("middle-class") regions to the expectation of some variable of interest, or in terms of the physical notions of work and energy, which sheds new light on the nature of economic and social inequalities. Importantly, the proposed concepts pave the way to statistically sound definitions, based on multiple variables, of quantiles and quantile regions, and the concept of "middle class," of high relevance in various socio-economic contexts. Time permitting, we will also discuss recent, similar ideas that enable to construct risk measures.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)

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