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106 records from EconBiz based on author Name
1. Group cohesion under individual regulatory constraints
Coculescu, Delia; Delbaen, Freddy;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
2. Fairness principles for insurance contracts in the presence of default risk
Coculescu, Delia; Delbaen, Freddy;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
3. Approximation with independent variables
Delbaen, Freddy; Majumdar, Chitro;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
4. A solution to a conjecture of David Schmeidler
Chateauneuf, Alain; Delbaen, Freddy; Ventura, Caroline;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 5. Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
Delbaen, Freddy;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link Citations: 1 (based on OpenCitations)
6. Surplus sharing with coherent utility functions
abstractWe use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders.
Coculescu, Delia; Delbaen, Freddy;2019
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
Citations: 1 (based on OpenCitations)
7. A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption
abstractIn the paradigm of von Neumann-Morgenstern, a representation of affine preferences in terms of an expected utility can be obtained under the assumption of weak continuity. Since the weak topology is coarse, this requirement is a priori far from being negligible. In this work, we replace the assumption of weak continuity by monotonicity. More precisely, on the space of lotteries on a real open interval, it is shown that any affine numerical representation of a preference order monotone with respect to the first stochastic order, admits a representation in terms of an expected utility for some nondecreasing utility function. As a consequence, any affine numerical representation on the subset of lotteries with compact support monotone with respect to the second stochastic order can be represented in terms of an expected utility for some nondecreasing concave utility function. We also provide such representations for affine preference order on the subset of those lotteries which fulfills some integrability conditions. The subtleties of the weak topology are also illustrated by some examples
Kupper, Michael; Delbaen, Freddy; Drapeau, Samuel;2021
Availability: Link Link
8. Surplus sharing with coherent utility functions
Coculescu, Delia; Delbaen, Freddy;2019
Type: Article;
Availability:
Link Citations: 1 (based on OpenCitations)
9. Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.;2016
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
10. Stochastic Order-Monotone Uncertainty-Averse Preferences
abstractIn this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main result is a quasi-concave numerical representation for a class of preferences wide enough to accommodate Ellsberg- as well as Allais-type behavior. Instead of assuming the usual monotonicity we suppose that our preferences are monotone with respect to first order stochastic dominance. Preference for averages expresses uncertainty-aversion. We do not make independence assumptions of any form. In general, our preferences intertwine attitudes towards risk and ambiguity. But if one assumes a weak form of Savage's sure thing principle, there is separation between risk and ambiguity attitudes, and the representation decomposes into state-dependent preference functionals over the consequences and a quasi-concave functional aggregating the preferences of the decision maker in different states of the world
Cheridito, Patrick; Delbaen, Freddy; Drapeau, Samuel; Kupper, Michael;2015
Availability: Link Link
Citations: 2 (based on OpenCitations)