Law-invariant functionals that collapse to the mean-Reference-Cited by-同舟云学术

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Law-invariant functionals that collapse to the mean

Published:2021-05 Issue: Volume:98 Page:83-91
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Bellini Fabio,Koch-Medina Pablo^ORCID,Munari Cosimo^ORCID,Svindland Gregor

Funder

Swiss National Science Foundation

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference33 articles.

1. Infinite Dimensional Analysis: A Hitchhiker’s Guide;Aliprantis,2006

2. Coherent measures of risk;Artzner;Math. Finance,1999

3. Risk measures and efficient use of capital;Artzner;Astin Bull.,2009

4. Law-invariant functionals on general spaces of random variables;Bellini;SIAM J. Financ. Math.,2021

5. Economics of Insurance;Borch,1974

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1. Are reference measures of law-invariant functionals unique?;Insurance: Mathematics and Economics;2024-09

2. The limitations of comonotonic additive risk measures: a literature review;Decisions in Economics and Finance;2024-08-03

3. Risk Measures beyond Frictionless Markets;SIAM Journal on Financial Mathematics;2024-06-07

4. Uniqueness of Convex-Ranged Probabilities and Applications to Risk Measures and Games;Mathematics of Operations Research;2024-03-27

5. An axiomatic approach to default risk and model uncertainty in rating systems;Journal of Mathematical Economics;2023-12

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