Results 31 to 40 of about 665 (108)
Causal mediation and sensitivity analysis for mixed-scale data. [PDF]
Stat Methods Med Res, 2023 Rene L, Linero AR, Slate E.
europepmc +1 more source
Law Invariant Risk Measures Have the Fatou Property [PDF]
S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02].
Elyès Jouini +2 more
core +3 more sources
Risk mitigation services in cyber insurance: optimal contract design and price structure. [PDF]
Geneva Pap Risk Insur Issues Pract, 2023 Zeller G, Scherer M.
europepmc +1 more source
Optimal Risk Sharing for Law Invariant Monetary Utility Functions [PDF]
We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures.
Elyès Jouini +2 more
core
Heterogeneous Impatience in a Continuous-Time Model [PDF]
In a continuous-time economy with complete markets, we study how the heterogeneity in the individual consumers' risk tolerance and impatience affects the representative consumer's risk tolerance and impatience.
Chiaki Hara
core +6 more sources
Contingent Claim Pricing In A Dual Expected Utility Theory Framework [PDF]
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets.
Andrea Gheno, Massimiliano Corradini
core
Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF]
In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge is optimal in some sense.
Albrecher, H +3 more
core
Increases in risk and demand for risky asset [PDF]
n this paper, we examine the effect of a decrease in risk on the demand for risky asset in the standard portfolio problem. We introduce a new class of dominance, that we name relative order and we prove that this class of dominance is consistent both ...
Alain Chateauneuf, Ghizlane Lakhnati
core
Risk aversion and Relationships in model-free [PDF]
This paper belongs to the study of decision making under risk. We will be interested in modeling the behavior of decision makers (hereafter referred to as DM) when they are facing risky choices.
Elyess Farhoud, Moez Abouda
core
On the functor of comonotonically maxitive functionals
Topology and its ApplicationsarXiv admin note: text overlap with arXiv:2307.12787, arXiv:2111 ...
openaire +2 more sources