11 citations · 18 across the 11 of their papers we have counts for
15 papers
P-Sensitive Functions and Localizations
Johannes Langner, Gregor Svindland
This paper assumes a robust stochastic model where a set of probability measures replaces the single probability measure of dominated models. We introduce and study $…
Bipolar Theorems for Sets of Non-negative Random Variables
Johannes Langner, Gregor Svindland
This paper assumes a robust, in general not dominated, probabilistic framework and provides necessary and sufficient conditions for a bipolar representation of subsets of the set o…
Building Resilience in Cybersecurity -- An Artificial Lab Approach
Kerstin Awiszus, Yannick Bell, Jan Lüttringhaus +3
Based on classical contagion models we introduce an artificial cyber lab: the digital twin of a complex cyber system in which possible cyber resilience measures may be implemented…
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
Kerstin Awiszus, Thomas Knispel, Irina Penner +3
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concept…
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We investigate the asymptotic behavior of the risk premium associated with a linear risk sharing contract in an infinitely expanding risk pool. We consider general preferences repr…
On Farkas' Lemma and Related Propositions in BISH
Josef Berger, Gregor Svindland
In this paper we analyse in the framework of constructive mathematics (BISH) the validity of Farkas' lemma and related propositions, namely the Fredholm alternative for solvability…
Model Uncertainty: A Reverse Approach
Felix-Benedikt Liebrich, Marco Maggis, Gregor Svindland
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to captu…
Risk sharing for capital requirements with multidimensional security markets
Felix-Benedikt Liebrich, Gregor Svindland
We consider the risk sharing problem for capital requirements induced by capital adequacy tests and security markets. The agents involved in the sharing procedure may be heterogene…
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…
Model Spaces for Risk Measures
Felix-Benedikt Liebrich, Gregor Svindland
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereaft…
The Fatou Closedness under Model Uncertainty
Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where $\mathcal{…
Strongly Consistent Multivariate Conditional Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional ag…
Risk-Consistent Conditional Systemic Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We axiomatically introduce risk-consistent conditional systemic risk measures defined on multidimensional risks. This class consists of those conditional systemic risk measures whi…
Which eligible assets are compatible with comonotonic capital requirements?
Pablo Koch-Medina, Cosimo Munari, Gregor Svindland
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We sh…
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the…