Convex risk functionals: Representation and applications
We introduce the family of law-invariant convex risk functionals, which includes a wide
majority of practically used convex risk measures and deviation measures. We obtain a …
majority of practically used convex risk measures and deviation measures. We obtain a …
Cash-subadditive risk measures without quasi-convexity
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity,
motivated by the presence of stochastic or ambiguous interest rates and defaultable …
motivated by the presence of stochastic or ambiguous interest rates and defaultable …
Risk measures on and value at risk with probability/loss function
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 …
only the probability of the losses, but the balance between such probability and the amount …
Capital allocation à la Aumann–Shapley for non-differentiable risk measures
F Centrone, ER Gianin - European Journal of Operational Research, 2018 - Elsevier
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 …
risk measures, by focusing in particular on a family of capital allocation rules based on the …
Complete monotone quasiconcave duality
S Cerreia-Vioglio, F Maccheroni… - Mathematics of …, 2011 - pubsonline.informs.org
Complete Monotone Quasiconcave Duality Page 1 MATHEMATICS OF OPERATIONS
RESEARCH Vol. 36, No. 2, May 2011, pp. 321–339 ISSN 0364-765XEISSN 1526-54711136020321 …
RESEARCH Vol. 36, No. 2, May 2011, pp. 321–339 ISSN 0364-765XEISSN 1526-54711136020321 …
Conditional systemic risk measures
A Doldi, M Frittelli - SIAM Journal on Financial Mathematics, 2021 - SIAM
We investigate to which extent the relevant features of (static) Systemic Risk Measures can
be extended to a conditional setting. After providing a general dual representation result, we …
be extended to a conditional setting. After providing a general dual representation result, we …
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
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 …
risk and performance measures, focusing on a the discrete time setup. The two key …
Conditional certainty equivalent
M Frittelli, M Maggis - … Journal of Theoretical and Applied Finance, 2011 - World Scientific
In a dynamic framework, we study the conditional version of the classical notion of certainty
equivalent when the preferences are described by a stochastic dynamic utility u (x, t, ω). We …
equivalent when the preferences are described by a stochastic dynamic utility u (x, t, ω). We …
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
M Frittelli, M Maggis - Statistics & Risk Modeling, 2014 - degruyter.com
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 …
defined on L 0 modules of the L p type and the appropriate class of dual functions. This is …
Capital allocation rules and acceptance sets
G Canna, F Centrone, E Rosazza Gianin - Mathematics and Financial …, 2020 - Springer
This paper introduces a new approach to face capital allocation problems from the
perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the …
perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the …