- Disentangling distortion risk measures and the Expected Shortfall
(with M. Amarante)
Working Paper, 2022
- Are reference measures of law-invariant functionals unique?
Working Paper, 2022
- Model uncertainty: A reverse approach
(with M. Maggis and G. Svindland)
SIAM Journal on Financial Mathematics, 13(3), 380-398, 2022
- Law-invariant functionals that collapse to the mean: Beyond convexity
(with C. Munari)
Mathematics & Financial Economics, 16(3), 447-480, 2022
- Risk sharing under heterogeneous beliefs without convexity
Working Paper, 2021
- Separability vs. Robustness of Robust Orlicz Spaces: Financial and Economic Perspectives
(with M. Nendel)
To appear in: SIAM Journal on Financial Mathematics, 2021
- Efficient allocations under law-invariance: a unifying approach
(with G. Svindland)
Journal of Mathematical Economics, 84, 28-45, 2019
- Risk sharing for capital requirements with multidimensional security markets
(with G. Svindland)
Finance and Stochastics, 23, 925-973, 2019
- Model spaces for risk measures
(with G. Svindland)
Insurance: Mathematics and Economics, 77, 150-165, 2017