6 papers · 1 filter
Law-invariant functionals that collapse to the mean: Beyond convexity
Felix-Benedikt Liebrich, Cosimo Munari
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve…
Multi-utility representations of incomplete preferences induced by set-valued risk measures
Cosimo Munari
We establish a variety of numerical representations of preference relations induced by set-valued risk measures. Because of the general incompleteness of such preferences, we have…
Law-invariant functionals that collapse to the mean
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We discuss when law-invariant convex functionals "collapse to the mean". More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity…
Stability properties of Haezendonck-Goovaerts premium principles
Niushan Gao, Cosimo Munari, Foivos Xanthos
We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always sati…
Dual representations for systemic risk measures based on acceptance sets
Maria Arduca, Pablo Koch-Medina, Cosimo Munari
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggreg…
A continuous selection for optimal portfolios under convex risk measures does not always exist
Michel Baes, Cosimo Munari
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to…