no code implementations • 10 Mar 2024 • Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
We introduce a notion of GG-convex conjugate, parallel to the classical notion of convex conjugate introduced by Fenchel, and we discuss its properties.
no code implementations • 30 Oct 2023 • Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
This paper presents novel characterization results for classes of law-invariant star-shaped functionals.
no code implementations • 7 Jul 2023 • 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).
no code implementations • 25 Feb 2023 • Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven
Finally, we provide a general family of strictly consistent scoring functions for Orlicz premia, a myriad of specific examples and a mixture representation suitable for constructing Murphy diagrams.
1 code implementation • 12 Oct 2022 • H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions.
no code implementations • 25 Jul 2022 • Roger J. A. Laeven, Emanuela Rosazza Gianin
Furthermore, we characterize quasi-logconvex risk measures in terms of properties of families of acceptance sets and provide their law-invariant representation.
no code implementations • 4 Jul 2021 • Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We analyze the limiting behavior of the risk premium associated with the Pareto optimal risk sharing contract in an infinitely expanding pool of risks under a general class of law-invariant risk measures encompassing rank-dependent utility preferences.
no code implementations • 30 Apr 2021 • 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.
