This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …

We address the problem of risk sharing among agents using a two-parameter class of
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …

In this paper we provide a complete solution to the existence and characterization problem
of optimal capital and risk allocations for not necessarily monotone, law-invariant convex risk …

This paper presents novel characterization results for classes of law-invariant star-shaped
functionals. We begin by establishing characterizations for positively homogeneous and star …

We present and compare two different approaches to conditional risk measures. One
approach draws from convex analysis in vector spaces and presents risk measures as …

Continuity properties of law-invariant (quasi-)convex risk functions on L∞ Page 1 Math Finan
Econ (2010) 3:39–43 DOI 10.1007/s11579-010-0026-x Continuity properties of law-invariant …

We consider the problem of finding (Pareto-) optimal allocations of risk among finitely many
agents. The associated individual risk measures are law-invariant, but with respect to agent …

We propose a general discrete-time framework for deriving equilibrium prices of financial
securities. It allows for heterogeneous agents, unspanned random endowments, and convex …

This paper provides sufficient and necessary conditions for the existence of equilibrium
pricing rules for monetary utility functions under convex consumption constraints. These …

A new risk measure, the Lambda Value-at-Risk (VaR), was proposed from a theoretical point
of view as a generalization of the ordinary VaR in the literature. Motivated by the recent …