5 citations · 10 across the 5 of their papers we have counts for
7 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…
Elicitability of Return Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we…
Parametric measures of variability induced by risk measures
Fabio Bellini, Tolulope Fadina, Ruodu Wang +1
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfa…
Law-invariant functionals on general spaces of random variables
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literatur…
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…
Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri, Fabio Bellini
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamm…
Comparison results for Garch processes
Fabio Bellini, Franco Pellerey, Carlo Sgarra +1
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stoch…