Zobrazeno 1 - 10
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pro vyhledávání: '"Lux, Thibaut"'
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is, however,
Externí odkaz:
http://arxiv.org/abs/2207.02948
Akademický článek
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Motivated by applications in model-free finance and quantitative risk management, we consider Fr\'echet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in the margina
Externí odkaz:
http://arxiv.org/abs/1709.00641
Autor:
Lux, Thibaut, Papapantoleon, Antonis
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,\dots,X_d)$ is a random vector with known marginal distributions and partiall
Externí odkaz:
http://arxiv.org/abs/1610.09734
Autor:
Lux, Thibaut, Papapantoleon, Antonis
We derive upper and lower bounds on the expectation of $f(\mathbf{S})$ under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dots,S_d)$ are known but their dependence structure is partially unknown.
Externí odkaz:
http://arxiv.org/abs/1602.08894
Autor:
Lux, Thibaut, Papapantoleon, Antonis
Publikováno v:
In Insurance Mathematics and Economics May 2019 86:73-83
Autor:
Lux, Thibaut, Papapantoleon, Antonis
Publikováno v:
The Annals of Applied Probability, 2017 Dec 01. 27(6), 3633-3671.
Externí odkaz:
https://www.jstor.org/stable/26361452
Akademický článek
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Autor:
Lux, Thibaut1 (AUTHOR) lux.thibaut@gmail.com, Rüschendorf, Ludger2 (AUTHOR)
Publikováno v:
Mathematical Finance. Jul2019, Vol. 29 Issue 3, p967-1000. 34p.
Autor:
Lux, Thibaut
In this thesis, we establish novel approaches to quantify model uncertainty and associated risks. We are specifically concerned with model risk that is expressed in terms of an upper and lower bound on the expectation of an aggregation functional of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______793::efe1e65b482806489317c5d0559987e6
http://depositonce.tu-berlin.de/handle/11303/6416
http://depositonce.tu-berlin.de/handle/11303/6416