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Bellini, F.; Koch-Medina, P.; Munari, C.; Svindland, G.: Law-invariant functionals that collapse to the mean. In: Insurance: Mathematics and Economics 98 (2021), S. 83-91. DOI: https://doi.org/10.1016/j.insmatheco.2021.03.002
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Sum total of downloads: 48
| Abstract: | |
We discuss when law-invariant convex functionals “collapse to the mean”. More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity assumptions, the expectation functional is, up to an affine transformation, the only law-invariant convex functional that is linear along the direction of a nonconstant random variable with nonzero expectation. This extends results obtained in the literature in a bounded setting and under additional assumptions on the functionals. We illustrate the implications of our general results for pricing rules and risk measures. © 2021 The Author(s) | |
| License of this version: | CC BY 4.0 Unported |
| Document Type: | Article |
| Publishing status: | publishedVersion |
| Issue Date: | 2021 |
| Appears in Collections: | Juristische Fakultät |
distribution of downloads over the selected time period:
downloads by country:
| pos. | country | downloads | ||
|---|---|---|---|---|
| total | perc. | |||
| 1 |  |
United States | 17 | 35.42% |
| 2 |  |
Germany | 17 | 35.42% |
| 3 |  |
China | 6 | 12.50% |
| 4 |  |
Indonesia | 3 | 6.25% |
| 5 |  |
Taiwan | 1 | 2.08% |
| 6 |  |
Netherlands | 1 | 2.08% |
| 7 |  |
Iran, Islamic Republic of | 1 | 2.08% |
| 8 |  |
France | 1 | 2.08% |
| 9 |  |
Brazil | 1 | 2.08% |
Further download figures and rankings:
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