no code implementations • 22 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.
no code implementations • 10 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.
no code implementations • 25 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.
no code implementations • 29 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.