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Results: 6
Number of items: 6
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Amarante, M., Liebrich, F.-B., & Munari, C. (2025). Uniqueness of convex-ranged probabilities and applications to risk measures and games. Mathematics of operations research, 50(1), 743-763. https://doi.org/10.1287/moor.2023.0015 -
Laudagé, C., Liebrich, F.-B., & Sass, J. (2025). Multi-asset return risk measures. ASTIN Bulletin, 55(3), 668-694. https://doi.org/10.1017/asb.2025.10055
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Liebrich, F.-B., & Munari, C. (2025). Revisiting the automatic Fatou property of law-invariant functionals. SIAM Journal on Financial Mathematics, 16(1), SC1-SC11. https://doi.org/10.1137/24M1653021
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Liebrich, F.-B. (2024). Are reference measures of law-invariant functionals unique? Insurance: Mathematics and Economics, 118, 129-141. https://doi.org/10.1016/j.insmatheco.2024.06.004
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Liebrich, F.-B. (2024). Risk sharing under heterogeneous beliefs without convexity. Finance and Stochastics, 28, 999–1033. https://doi.org/10.1007/s00780-024-00540-6
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Amarante, M., & Liebrich, F.-B. (2024). Distortion risk measures: Prudence, coherence, and the Expected Shortfall. Mathematical Finance, 34(4), 1291-1327. https://doi.org/10.1111/mafi.12435
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