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Risk measures for non-integrable random variables

Delbaen, Freddy - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 329-333

Persistent link: https://www.econbiz.de/10003827618

Differentiability properties of utility functions

Delbaen, Freddy - In: Optimality and risk - modern trends in mathematical …, (pp. 39-48). 2009

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Classical risk theory in an economic environment

Delbaen, Freddy - In: Insurance / Mathematics & economics 6 (1987) 2, pp. 85-116

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Coherent and convex monetary risk measures for unbounded càdlàg processes

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - In: Finance and stochastics 9 (2005) 3, pp. 369-387

Persistent link: https://www.econbiz.de/10002946711

On a class of law invariant convex risk measures

Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363

Persistent link: https://www.econbiz.de/10009159083

Risk measures with the CxLS property

Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453

Persistent link: https://www.econbiz.de/10011471250

Allocation under uncertainty: equilibrium and optimality : proceedings from a workshop sponsored by the International Economic Association

Drèze, Jacques H. (contributor); … - 1974

Persistent link: https://www.econbiz.de/10000125738

Group cohesion under individual regulatory constraints

Coculescu, Delia; Delbaen, Freddy - In: Scandinavian actuarial journal 2022 (2022) 1, pp. 80-93

Persistent link: https://www.econbiz.de/10012872649

Fairness principles for insurance contracts in the presence of default risk

Coculescu, Delia; Delbaen, Freddy - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 595-626

Persistent link: https://www.econbiz.de/10013164563

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar - Université Paris-Dauphine (Paris IX) - 2008

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an optimal risk sharing allocation which is in addition...

Persistent link: https://www.econbiz.de/10010905090