11 citations · 18 across the 11 of their papers we have counts for
5 papers · 1 filter
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…