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 …

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 …

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 …

Complete Monotone Quasiconcave Duality Page 1 MATHEMATICS OF OPERATIONS
RESEARCH Vol. 36, No. 2, May 2011, pp. 321–339 ISSN 0364-765XEISSN 1526-54711136020321 …

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 …

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 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 …

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 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 …