1 citations · 2 across the 10 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…
Law-invariant functionals that collapse to the mean: Beyond convexity
Felix-Benedikt Liebrich, Cosimo Munari
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve…
Separability vs. robustness of Orlicz spaces: financial and economic perspectives
Felix-Benedikt Liebrich, Max Nendel
We investigate robust Orlicz spaces as a generalisation of robust -spaces. Two constructions of such spaces are distinguished, a top-down approach and a bottom-up approach. We…
Law-invariant functionals that collapse to the mean
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We discuss when law-invariant convex functionals "collapse to the mean". More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity…
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…
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…