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2007
Wednesday, February 7, 2007 at 2:30 PM in MC 204
Risk Management and Pricing in Financial Services and Service Guarantees
Aparna Gupta
Decision Sciences and Engineering Systems and
Lally School of Management and Technology
Rensselaer Polytechnic Institute
Abstract:
Decision making for risk management, when the time horizon for the impact of the decisions is long, are challenging problems. Multiple sources of risk and their interactions enhance the complexity of the problems. In this talk, I will present problems we have contributed to in this domain.
In the first part, I will present our work on financial planning and risk management for long-term well-being for an individual planner. Here interactions between wealth, investment, consumption and health risks are considered, and using appropriate tools, problems of risk management are solved. Design of risk management products for specific individual needs is also considered. In the second part, I will present our work on pricing and risk management for Quality of Service (QoS) guaranteed Internet service contracts. Risks underlying QoS guaranteed services on the Internet cannot be technologically eliminated. We develop appropriate models for end-to-end QoS guaranteed contracts and apply options-pricing based techniques for pricing the risk in these contracts.