Zobrazeno 1 - 10
of 206
pro vyhledávání: '"Delbaen, Freddy"'
Autor:
Delbaen, Freddy
We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous time filtration coming from Brownian Motion filtration, we show that e
Externí odkaz:
http://arxiv.org/abs/2406.18716
Autor:
Delbaen, Freddy, Majumdar, Chitro
For a square integrable $m$-dimensional random variable $X$ on a probability space $(\Omega,\Fc,\Pr)$ and a sub sigma algebra $\Ac$, we show that there is a constructive way to represent $X-\Er[X\mid\Ac]$ as the sum of a series of variables that are
Externí odkaz:
http://arxiv.org/abs/2405.19780
Autor:
Delbaen, Freddy
We prove that convex functions on a $C_b(X)$ space satisfying a mild continuity condition can be represented using sigma additive measures. This generalises a result of Cheridito, Kupper and Tangpi
Externí odkaz:
http://arxiv.org/abs/2209.08140
Autor:
Delbaen, Freddy
We will characterise robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
Externí odkaz:
http://arxiv.org/abs/2209.08137
Autor:
Delbaen, Freddy, Majumdar, Chitro
Given a square integrable m-dimensional random variable $X$ on a probability space $(\Omega.\mathcal F,\Pr)$ and a sub sigma algebra $\mathcal A$, we show that there exists another m-dimensional random variable $Y$, independent of $\mathcal A$ and mi
Externí odkaz:
http://arxiv.org/abs/2206.02463
Autor:
Delbaen, Freddy, Schachermayer, Walter
The Fundamental Theorem of Asset Pricing states - roughly speaking - that the absence of arbitrage possibilities for a stochastic process S is equivalent to the existence of an equivalent martingale measure for S. It turns out that it is quite hard t
Externí odkaz:
http://epub.wu.ac.at/850/1/document.pdf
Autor:
Delbaen, Freddy
Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random variable. The results follow from general convergence theorems based
Externí odkaz:
http://arxiv.org/abs/2109.10612
Autor:
Coculescu, Delia, Delbaen, Freddy
We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit, more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex cone. Becaus
Externí odkaz:
http://arxiv.org/abs/2010.01428
Autor:
Coculescu, Delia, Delbaen, Freddy
We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the benefit (or surplus) of the company. It results from the analysis tha
Externí odkaz:
http://arxiv.org/abs/2009.04408