Motivated by the work of Musiela and Zariphopoulou Backward and forward utilities and the
associated pricing systems: The case study of the binomial model, in Indifference Pricing …

We provide a dual representation of quasi-convex maps π:L_F%→L_G, between two locally
convex lattices of random variables, in terms of conditional expectations. This generalizes …

We propose a generalization of the classical notion of the V@ Rλ that takes into account not
only the probability of the losses, but the balance between such probability and the amount …

We study capital allocation rules satisfying suitable properties for convex and quasi-convex
risk measures, by focusing in particular on a family of capital allocation rules based on the …

We axiomatically introduce risk-consistent conditional systemic risk measures defined on
multidimensional risks. This class consists of those conditional systemic risk measures …

In this work we give a comprehensive overview of the time consistency property of dynamic
risk and performance measures, focusing on a the discrete time setup. The two key …

In the conditional setting we provide a complete duality between quasiconvex risk measures
defined on L 0 modules of the L p type and the appropriate class of dual functions. This is …

This paper provides a unified framework, which allows, in particular, to study the structure of
dynamic monetary risk measures and dynamic acceptability indices. The main mathematical …

The aim of this study was to estimate the utility function of money and housing worth an
equivalent amount of money. The shape of the utility function curve for money has been …

In this paper, we focus on the portfolio optimization problem associated with a quasiconvex
risk measure (satisfying some additional assumptions). For coherent/convex risk measures …