报告人：雍炯敏教授（复旦大学，University of Central Florida）

报告题目：Dynamic Risk Measures by Backward Stochastic Volterra Integral Equations

报告时间：5月27日（周五），下午4：00-5：00

报告地点：数学系致远楼107

报告摘要：

Suppose an agent has positions of various assets. As time goes by, the corresponding total wealth varies. Since the agent would like to keep the positions of the different assests for various different time periods, the position process will not be adapted. A natural question is how one can measure the dynamic risk of such kind of position process? It turns out that the theory of backward stochastic Volterra integral equations (BSVIEs, for short) presents a suitable framework for dynamic risk measures. In this talk, we will briefly present the relevant results on BSVIEs and construct a class of dynamic risk measures.