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q-fin.RM2022
A parametric approach to the estimation of convex risk functionals based on Wasserstein distance
Max Nendel, Alessandro Sgarabottolo
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the…
q-fin.RM2020
A decomposition of general premium principles into risk and deviation
Max Nendel, Frank Riedel, Maren Diane Schmeck
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk mea…