Search Results - subject:"law-invariant"

Bipolar behavior of submodular, law-invariant capacities

Amarante, Massimiliano - In: Statistics & Risk Modeling 38 (2022) 3-4, pp. 65-70

Abstract In the case of a submodular, law-invariant capacity, we provide an entirely elementary proof of a result of … show that the anticore of a continuous submodular, law-invariant nonatomic capacity has a dichotomous nature: either it is …

Persistent link: https://www.econbiz.de/10014621283

When do two- or three-fund separation theorems hold?

Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Quantitative finance 21 (2021) 11, pp. 1869-1883

Persistent link: https://www.econbiz.de/10012696788

Convex risk functionals : representation and applications

Liu, Fangda; Cai, Jun; Lemieux, Christiane; Wang, Ruodu - In: Insurance 90 (2020), pp. 66-79

Persistent link: https://www.econbiz.de/10012169500

Risk sharing for capital requirements with multidimensional security markets

Liebrich, Felix-Benedikt; Svindland, Gregor - In: Finance and stochastics 23 (2019) 4, pp. 925-973

Persistent link: https://www.econbiz.de/10012114664

Optimal portfolio choice with benchmarks

Bernard, Carole; De Staelen, Rob H.; Vanduffel, Steven - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1600-1621

Persistent link: https://www.econbiz.de/10012214351

Efficient allocations under law-invariance : a unifying approach

Liebrich, Felix-Benedikt; Svindland, Gregor - In: Journal of mathematical economics 84 (2019), pp. 28-45

Persistent link: https://www.econbiz.de/10012310796

Mildenhall, Stephen J. - In: Insurance 105 (2022), pp. 203-210

Persistent link: https://www.econbiz.de/10013349010

Quantitative statistical robustness for tail-dependent law invariant risk measures

Wang, Wei; Xu, Huifu; Ma, Tiejun - In: Quantitative finance 21 (2021) 10, pp. 1669-1685

Persistent link: https://www.econbiz.de/10012653706

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Insurance 74 (2017), pp. 99-108

Persistent link: https://www.econbiz.de/10011712409

Nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Statistics & Risk Modeling 32 (2016) 2, pp. 89-102

Abstract We consider two nonparametric estimators for the risk measure of the sum of n i.i.d. individual insurance risks where the number of historical single claims that are used for the statistical estimation is of order n . This framework matches the situation that nonlife insurance companies...

Persistent link: https://www.econbiz.de/10014621243