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Representation of dynamic time-consistent convex risk measures with jumps
Tang, Shanjian; Wei, Wenning - In: Risk and decision analysis 3 (2012) 3, pp. 167-190
Persistent link: https://www.econbiz.de/10009655735
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Differentiability properties of utility functions
Delbaen, Freddy - In: Optimality and risk - modern trends in mathematical …, (pp. 39-48). 2009
Persistent link: https://www.econbiz.de/10003948459
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On a class of law invariant convex risk measures
Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363
Persistent link: https://www.econbiz.de/10009159083
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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Group cohesion under individual regulatory constraints
Coculescu, Delia; Delbaen, Freddy - In: Scandinavian actuarial journal 2022 (2022) 1, pp. 80-93
Persistent link: https://www.econbiz.de/10012872649