Search Results for author:
Found 12 papers, 0 papers with code
An elementary proof of the dual representation of Expected Shortfall
We provide an elementary proof of the dual representation of Expected Shortfall on the space of integrable random variables over a general probability space.
Robust portfolio selection under Recovery Average Value at Risk
The comparison with the classical Average Value at Risk shows that portfolio selection under its recovery version enables financial institutions to exert better control on the recovery on liabilities while still allowing for tractable computations.
Risk measures beyond frictionless markets
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement.
Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
We provide detailed case studies and applications: We analyze how recovery risk measures react to the joint distributions of assets and liabilities on firms' balance sheets and compare the corresponding capital requirements with the current regulatory benchmarks based on Value at Risk and Average Value at Risk.
Law-invariant functionals that collapse to the mean: Beyond convexity
In addition, we relate the "collapse to the mean" to the study of solutions of a broad class of optimisation problems with law-invariant objectives that appear in mathematical finance, insurance, and economics.
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
We obtain a direct and a dual description of market-consistent prices with acceptable risk.
Law-invariant functionals that collapse to the mean
We discuss when law-invariant convex functionals "collapse to the mean".
Multi-utility representations of incomplete preferences induced by set-valued risk measures
We establish a variety of numerical representations of preference relations induced by set-valued risk measures.
Adjusted Expected Shortfall
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution.
Stability properties of Haezendonck-Goovaerts premium principles
In addition, we show that Haezendonck-Goovaerts principles satisfy the stronger Lebesgue property if and only if the reference Orlicz function fulfills the so-called $\Delta_2$ condition.
Law-invariant functionals on general spaces of random variables
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals.
Which eligible assets are compatible with comonotonic capital requirements?
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets.
