3 citations · 3 across the 7 of their papers we have counts for
7 papers
Higher-Order Ambiguity Attitudes
Mücahit Aygün, Roger J. A. Laeven, Mitja Stadje
We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, e…
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of -Divergences Approach to Combat Tail Uncertainty
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog +1
Risk measures, which typically evaluate the impact of extreme losses, are highly sensitive to misspecification in the tails. This paper studies a robust optimization approach to co…
On Geometrically Convex Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As rec…
Law-Invariant Return and Star-Shaped Risk Measures
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and s…
Dynamic Return and Star-Shaped Risk Measures via BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characteri…
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…