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q-fin.RM2021
Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
Cosimo Munari, Lutz Wilhelmy, Stefan Weber
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements are an ins…
q-fin.MF2021
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…