1 citations · 2 across the 7 of their papers we have counts for
12 papers
Lambda-quantiles under the microscope
Fabio Bellini, Felix-Benedikt Liebrich
We study Lambda-quantiles, a generalisation of classical quantiles in which the constant probability level is replaced by a functional parameter $Λ\colon \mathbb{R} \t…
A unifying perspective on the collapse to the mean for law-invariant functionals
Felix-Benedikt Liebrich
We revisit the ``collapse to the mean'' phenomenon, which refers to mild structural conditions, such as local linearity, that force a law-invariant functional $\ph$ defined on fini…
Meyer risk measures
Christian Laudagé, Felix-Benedikt Liebrich
Risk measures summarize the risk profile of financial positions in a single metric, which allows their comparison and supports investment decisions. When they respect common stocha…
Eliciting reference measures of law-invariant functionals
Felix-Benedikt Liebrich, Ruodu Wang
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measu…
Multi-asset return risk measures
Christian Laudagé, Felix-Benedikt Liebrich, Jörn Sass
We revisit the recently introduced concept of return risk measures (RRMs) and extend it by incorporating risk management via multiple so-called eligible assets. The resulting new c…
Risk sharing under heterogeneous beliefs without convexity
Felix-Benedikt Liebrich
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to age…