3 papers
q-fin.RM2025
Dual representations for quasiconvex compositions with applications to systemic risk measures
ÃaÄın 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-…
q-fin.RM2025
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…
q-fin.RM2024
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…