2 papers
q-fin.MF2019
Dual representations for systemic risk measures based on acceptance sets
Maria Arduca, Pablo Koch-Medina, Cosimo Munari
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggreg…
q-fin.PR2018
Law-invariant functionals on general spaces of random variables
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literatur…