Search Results for author: Mücahit Aygün

Found 4 papers, 0 papers with code

Higher-Order Ambiguity Attitudes

no code implementations22 Jan 2025 Mücahit Aygün, Roger J. A. Laeven, Mitja Stadje

We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly.

On Geometrically Convex Risk Measures

no code implementations10 Mar 2024 Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven

We introduce a notion of GG-convex conjugate, parallel to the classical notion of convex conjugate introduced by Fenchel, and we discuss its properties.

Elicitability of Return Risk Measures

no code implementations25 Feb 2023 Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven

Finally, we provide a general family of strictly consistent scoring functions for Orlicz premia, a myriad of specific examples and a mixture representation suitable for constructing Murphy diagrams.

Dual representations of quasiconvex compositions with applications to systemic risk

no code implementations29 Aug 2021 Çağın Ararat, Mücahit Aygün

Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-dimensional setting.

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