Felix-Benedikt Liebrich

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20172026

most citedRisk sharing under heterogeneous beliefs without convexity

1 citations · 2 across the 10 of their papers we have counts for

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math.PR2020★ 1 cited

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 $L^{p}$ -spaces. Two constructions of such spaces are distinguished, a top-down approach and a bottom-up approach. We…

math.PR2020

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…