All posts by fflores

Principal-Agent problem in insurance: from discrete- to continuous-time

Speaker: Doctor Nicolás Hernández

Center for Mathematical Modeling (CMM), Universidad de Chile, Santiago, Chile

Date:  October 07,  2020 at 10:00

Title: Principal-Agent problem in insurance: from discrete-to continuous-time

Abstract: In this talk we present a contracting problem between an insurance buyer and the seller, subject to prevention efforts in the form of self-insurance and self-protection. We start with a static formulation, corresponding to an optimization problem with variational inequality constraint, and extend the main properties of the optimal contract to the continuous-time formulation, corresponding to a stochastic control problem in weak form under non-singular measures.

A recorded video of the conference is here;  the slides can be downloaded here

Venue: Online via Google Meet here

A brief biography of the speaker: Nicolás Hernández is currently a Postdoctoral Researcher at the Center for Mathematical Modeling (CMM), at Universidad de Chile. He obtained his PhD in 2017, as a cotutelle between Université Paris-Dauphine and Universidad de Chile. His research areas of interest are Contract theory, stochastic control, mathematical finance, probability, optimization, game theory.

Coordinators: Fabián Flores-Bazán (Universidad de Concepción) and Abderrahim Hantoute (CMM)

Sigma-convex functions and Sigma-subdifferentials

Speaker: Prof. Mohammad Hossein Alizadeh

Institute for Advanced Studies in Basic Sciences (IASBS),
Zanjan, Iran

Date:  September 23, 2020 at 10:00

Title: Sigma-convex functions and Sigma-subdifferentials

Abstract: In this talk we present and study the notion of $\sigma$-subdifferential of a proper function $f$ which contains the Clarke-Rockafellar subdifferential of $f$ under some mild assumptions on $f$.
We show that some well known properties of the convex function, namely Lipschitz property in the interior of its domain, remain valid for the large class of $\sigma$-convex functions.

A recorded video of the conference is here;  the slides can be downloaded here

Venue: Online via Google Meet  meet.google.com/uoq-kifr-nsg

A brief biography of the speaker: Mohammad Hossein Alizadeh is an Assistant
Professor at the Institute for Advanced Studies in Basic Sciences (IASBS), Zanjan, Iran. He obtains his Ph.D. from the University the Aegean, Greece, in 2012. He is mainly interested in the following areas:

Monotone and generalized monotone operators, Monotone and generalized monotone
bifunctions, generalized convexity and generalized inverses.

Coordinators: Abderrahim Hantoute (CMM) and Fabián Flores-Bazán (Universidad de Concepción)

Epi-convergence, asymptotic analysis and stability in set optimization problems

Speaker: Prof. Rubén López
University of Tarapacá, Arica, Chile

Date:  August 05, 2020 at 10:00

Title: Epi-convergence, asymptotic analysis and stability in set optimization problems

Abstract: We study the stability of set optimization problems with data that are not necessarily bounded. To do this, we use the well-known notion of epi-convergence coupled with asymptotic tools for set-valued maps. We derive characterizations for this notion that allows us to study the stability of vector and set type solutions by considering variations of the whole data (feasible set and objective map). We extend the notion of total epi-convergence to set-valued maps.

* This work has been supported by Conicyt-Chile under project FONDECYT 1181368

Joint work with Elvira Hérnández, Universidad Nacional de Educación a Distancia, Madrid, Spain

The slides of the conference can be downloaded here

Venue: Online via Google Meet – https://meet.google.com/hgo-zwkr-fvh

A brief biography of the speaker: Prof. Rubén López   is Professor at the University of Tarapacá,  Arica – Chile. He studied at Moscow State University – Mech Math (1996, Russia) and Universidad de Concepción – DIM (2005, Chile). He works on Optimization: asymptotic analysis, variational convergences, stability theory, approximate solutions and well-posedness.

Coordinators: Abderrahim Hantoute (CMM) and Fabián Flores-Bazán (Universidad de Concepción)

Satisfying Instead of Optimizing in the Nash Demand Games

Speaker: Prof. Sigifredo Laengle
University of Chile, Santiago, Chile

Date: July 22, 2020 at 10:00

Abstract: The Nash Demand Game (NDG) has been one of the first models (Nash 1953) that has tried to describe the process of negotiation, competition, and cooperation. This model is still subject to active research, in fact, it maintains a set of open questions regarding how agents optimally select their decisions and how they face uncertainty. However, the agents act rather guided by chance and necessity, with a Darwinian flavor. Satisfying, instead of optimising. The Viability Theory (VT) has this approach. Therefore, we investigate the NDG under this point of view. In particular, we ask ourselves two questions: if there are decisions in the NDG that ensure viability and if this set also contains Pareto and equilibrium strategies. Thus, carrying out the work, we find that the answers to both questions are not only affirmative, but that we also advance in characterising viable NDGs. In particular, we conclude that a certain type of NDGs ensures viability and equilibrium. Many interesting questions originate from this initial work. For example, is it possible to fully characterise the NDG by imposing viability conditions? Under what conditions does viability require cooperation? Is extreme polarisation viable?

The slides of the conference can be downloaded here

Venue: Online via Google Meet – meet.google.com/jhb-umew-kwp

A brief biography of the speaker: Prof. Sigifredo Laengle   is an Associate Professor at the University of Chile since 2007. He received his PhD in Germany working on the theoretical problem of the value of information in organisations. He has published articles that articulate phenomena of strategic interaction, and optimisation.

Coordinators: Abderrahim Hantoute and Fabián Flores-Bazán (Universidad de Concepción)