15 citations · 15 across the 6 of their papers we have counts for
6 papers · 1 filter
Insiders and their Free Lunches: the Role of Short Positions
Delia Coculescu, Aditi Dandapani
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measur…
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…
A default system with overspilling contagion
Delia Coculescu, Gabriele Visentin
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that…