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