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Robust capital requirements with model risk
Barrieu, Pauline; Ravanelli, Claudia - In: Economic notes : economic review of Banca Monte dei … 44 (2015) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011342102
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Which eligible assets are compatible with comonotonic capital requirements?
Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26
Persistent link: https://www.econbiz.de/10011904606
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Model spaces for risk measures
Liebrich, Felix-Benedikt; Svindland, Gregor - In: Insurance / Mathematics & economics 77 (2017), pp. 150-165
Persistent link: https://www.econbiz.de/10011783938
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Robust optimal risk sharing and risk premia in expanding pools
Knispel, Thomas; Laeven, Roger J. A.; Svindland, Gregor - In: Insurance / Mathematics & economics 70 (2016), pp. 182-195
Persistent link: https://www.econbiz.de/10011597263
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The canonical model space for law-invariant convex risk measures is L
Filipović, Damir; Svindland, Gregor - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 585-589
Persistent link: https://www.econbiz.de/10009613178
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Law-invariant functionals that collapse to the mean
Bellini, Fabio; Koch Medina, Pablo; Munari, Cosimo-Andrea; … - In: Insurance / Mathematics & economics 98 (2021), pp. 83-91
Persistent link: https://www.econbiz.de/10012545267
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Strongly consistent multivariate conditional risk measures
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor - In: Mathematics and financial economics 12 (2018) 3, pp. 413-444
Persistent link: https://www.econbiz.de/10011963870