2 papers
q-fin.RM2025
Generalized Orlicz premia
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
We introduce a generalized class of Orlicz premia based on possibly nonconvex loss functions, extending the classical framework of Haezendonck and Goovaerts (1982). Without the usu…
q-fin.RM2021
Dual representations for quasiconvex compositions with applications to systemic risk measures
Çağın Ararat, Mücahit Aygün
Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-…