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House of Insurance About People Liebrich, Felix
Publications
  • 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

Last Change: 22.01.25 Print

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