15 citations · 15 across the 4 of their papers we have counts for
6 papers
Group cohesion under individual regulatory constraints
Delia Coculescu, Freddy Delbaen
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to be…
Fairness principles for insurance contracts in the presence of default risk
Delia Coculescu, Freddy Delbaen
We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the…
Surplus sharing with coherent utility functions
Delia Coculescu, Freddy Delbaen
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in t…
Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints
Delia Coculescu, Monique Jeanblanc
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price proces…
Default times, non arbitrage conditions and change of probability measures
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
In this paper we give a financial justification, based on non arbitrage conditions, of the hypothesis in default time modelling. We also show how the hypothesis is affe…
Filtrations
Delia Coculescu, Ashkan Nikeghbali
In this article, we define the notion of a filtration and then give the basic theorems on initial and progressive enlargements of filtrations.