dc.identifier.uri |
http://dx.doi.org/10.15488/12274 |
|
dc.identifier.uri |
https://www.repo.uni-hannover.de/handle/123456789/12372 |
|
dc.contributor.author |
Bellini, Fabio
|
|
dc.contributor.author |
Koch-Medina, Pablo
|
|
dc.contributor.author |
Munari, Cosimo
|
|
dc.contributor.author |
Svindland, Gregor
|
|
dc.date.accessioned |
2022-06-16T04:33:24Z |
|
dc.date.available |
2022-06-16T04:33:24Z |
|
dc.date.issued |
2021 |
|
dc.identifier.citation |
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 |
|
dc.description.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) |
eng |
dc.language.iso |
eng |
|
dc.publisher |
Amsterdam : Elsevier |
|
dc.relation.ispartofseries |
Insurance: Mathematics and Economics 98 (2021) |
|
dc.rights |
CC BY 4.0 Unported |
|
dc.rights.uri |
https://creativecommons.org/licenses/by/4.0/ |
|
dc.subject |
Affinity |
eng |
dc.subject |
Law invariance |
eng |
dc.subject |
Pricing rules |
eng |
dc.subject |
Risk measures |
eng |
dc.subject |
Translation invariance |
eng |
dc.subject.ddc |
330 | Wirtschaft
|
ger |
dc.subject.ddc |
510 | Mathematik
|
ger |
dc.title |
Law-invariant functionals that collapse to the mean |
|
dc.type |
Article |
|
dc.type |
Text |
|
dc.relation.essn |
1873-5959 |
|
dc.relation.doi |
https://doi.org/10.1016/j.insmatheco.2021.03.002 |
|
dc.bibliographicCitation.volume |
98 |
|
dc.bibliographicCitation.firstPage |
83 |
|
dc.bibliographicCitation.lastPage |
91 |
|
dc.description.version |
publishedVersion |
|
tib.accessRights |
frei zug�nglich |
|