12 citations · 32 across the 31 of their papers we have counts for
13 papers · 1 filter
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…
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…
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…
Quasi-Logconvex Measures of Risk
Roger J. A. Laeven, Emanuela Rosazza Gianin
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Q…
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We investigate the asymptotic behavior of the risk premium associated with a linear risk sharing contract in an infinitely expanding risk pool. We consider general preferences repr…
Probability Premium and Attitude Towards Probability
Louis R. Eeckhoudt, Roger J. A. Laeven
Employing a generalized definition of Pratt (1964) and Arrow's (1965, 1971) probability premium, we introduce a new concept of attitude towards probability. We illustrate in a prob…
Systemic Risk: Conditional Distortion Risk Measures
Jan Dhaene, Roger J. A. Laeven, Yiying Zhang
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (CoD) measures as measures of systemic risk and analy…
Risk Apportionment: The Dual Story
Louis R. Eeckhoudt, Roger J. A. Laeven, Harris Schlesinger
By specifying model free preferences towards simple nested classes of lottery pairs, we develop the dual story to stand on equal footing with that of (primal) risk apportionment. T…
Dual Moments and Risk Attitudes
Louis R. Eeckhoudt, Roger J. A. Laeven
In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in canonical no…
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the…