Freddy Delbaen
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Previous Organizations / Institutes
The organizations / institutes from the scholar's other articles in the past ten years
Freddy Delbaen has a total of 36 co-authors. Here are the top co-authors by number of shared publications:
- Shanjian Tang
Department of Finance and Control Sciences, School of Mathematical Sciences, Fudan University, Shanghai 200433, China
3 shared publications - Ying Hu
Univ. Rennes CNRS IRMAR-UMR6625 F-35000 Rennes France
3 shared publications - Adrien Richou
UMR 5251 Univ. Bordeaux IMB F-33400 Talence France
2 shared publications - Chitro Majumdar
Chief Investment Risk Strategist for Sovereign Institutions Founder RsRL Jumeirah Beach Residence (JBR) P.O.Box 29215 Dubai United Arab Emirates
2 shared publications - Delia Coculescu
Institute for Mathematics and Department of Banking and Finance, University of Zurich, Zurich, Switzerland
2 shared publications - Delia Coculescu
University of Zürich
2 shared publications
Latest Publications
- 1 April 2024
- Published by World Scientific Pub Co Pte Ltd in International Journal of Theoretical and Applied Finance
- Vol. 27 (03n04)
MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES
We will characterize robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
- 1 April 2024
- Published by World Scientific Pub Co Pte Ltd in International Journal of Theoretical and Applied Finance
- Vol. 27 (03n04)
MONETARY UTILITY FUNCTIONS ON Cb(X) SPACES
We will characterize robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
- 1 January 2024
- Published by American Institute of Mathematical Sciences (AIMS) in Frontiers of Mathematical Finance
Convergence results for approximations with independent variables
For a square integrable $ m $-dimensional random variable $ X $ on a probability space $ (\Omega, {\mathcal{F}}, {\mathbb P}) $ and a sub sigma algebra $ {\mathcal{A}} $, we show that there is a constructive way to represent $ X- {\mathbb E}[X\mid {\mathcal{A}}] $ as the sum of a series of variables that are independent of $ {\mathcal{A}} $.- 1 January 2024
- Published by American Institute of Mathematical Sciences (AIMS) in Frontiers of Mathematical Finance
Convergence results for approximations with independent variables
For a square integrable $ m $-dimensional random variable $ X $ on a probability space $ (\Omega, {\mathcal{F}}, {\mathbb P}) $ and a sub sigma algebra $ {\mathcal{A}} $, we show that there is a constructive way to represent $ X- {\mathbb E}[X\mid {\mathcal{A}}] $ as the sum of a series of variables that are independent of $ {\mathcal{A}} $.- Open Access
- 1 January 2023
- Published by American Institute of Mathematical Sciences (AIMS) in Frontiers of Mathematical Finance
- Vol. 2 (2) , 141-149
Approximation with independent Variables
Given a square integrable m-dimensional random variable $ X $ on a probability space $ (\Omega, {{\mathcal{F}}}, {{\mathbb P}}) $ and a sub sigma algebra $ {{\mathcal{A}}} $, we show that there exists another m-dimensional random variable $ Y $, independent of $ {{\mathcal{A}}} $ and minimising the $ L^2 $ distance to $ X $. The construction of $ Y $ is done in two steps. First, using transport theory we determine the distribution of $ Y $, in a second step we construct the variable $ Y $ using the existence of a uniformly $ [0, 1] $ distributed random variable independent of $ {{\mathcal{A}}} $. Such results have an importance to fairness and bias reduction in Artificial Intelligence, Machine Learning and Network Theory. We believe that the problem was never studied in the past.- 1 January 2023
- Published by American Institute of Mathematical Sciences (AIMS) in Frontiers of Mathematical Finance
- Vol. 2 (2) , 141-149
Open AccessApproximation with independent Variables
Given a square integrable m-dimensional random variable $ X $ on a probability space $ (\Omega, {{\mathcal{F}}}, {{\mathbb P}}) $ and a sub sigma algebra $ {{\mathcal{A}}} $, we show that there exists another m-dimensional random variable $ Y $, independent of $ {{\mathcal{A}}} $ and minimising the $ L^2 $ distance to $ X $. The construction of $ Y $ is done in two steps. First, using transport theory we determine the distribution of $ Y $, in a second step we construct the variable $ Y $ using the existence of a uniformly $ [0, 1] $ distributed random variable independent of $ {{\mathcal{A}}} $. Such results have an importance to fairness and bias reduction in Artificial Intelligence, Machine Learning and Network Theory. We believe that the problem was never studied in the past. - 1 January 2023
- Published by Institute of Mathematics, Polish Academy of Sciences in Studia Mathematica
- Vol. 271 (1) , 107-120
Convex increasing functionals on $C_b(X)$ spacesWe prove that convex functions on a $C_b(X)$ space satisfying a mild continuity condition can be represented using $\sigma $-additive measures. This generalises a result of Cheridito, Kupper and Tangpi [Studia Math. 260 (2021), 121–140].- 1 January 2023
- Published by Institute of Mathematics, Polish Academy of Sciences in Studia Mathematica
- Vol. 271 (1) , 107-120
Convex increasing functionals on $C_b(X)$ spacesWe prove that convex functions on a $C_b(X)$ space satisfying a mild continuity condition can be represented using $\sigma $-additive measures. This generalises a result of Cheridito, Kupper and Tangpi [Studia Math. 260 (2021), 121–140].- Open Access
- 30 January 2022
- Published by Wiley in Mathematical Finance
- Vol. 32 (2) , 595-626
Fairness principles for insurance contracts in the presence of default risk
- 30 January 2022
- Published by Wiley in Mathematical Finance
- Vol. 32 (2) , 595-626
Open AccessFairness principles for insurance contracts in the presence of default risk
- Open Access
- 30 June 2021
- Published by Springer Nature in Finance and Stochastics
- Vol. 25 (3) , 597-614
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.
- 30 June 2021
- Published by Springer Nature in Finance and Stochastics
- Vol. 25 (3) , 597-614
Open AccessCommonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
It is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.
- 7 February 2019
- Published by Springer Nature in Positivity
- Vol. 23 (5) , 1051-1064
Convex functions on dual Orlicz spaces
- 7 February 2019
- Published by Springer Nature in Positivity
- Vol. 23 (5) , 1051-1064
Convex functions on dual Orlicz spaces
- Open Access
Surplus Sharing with Coherent Utility Functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders.
Open AccessSurplus Sharing with Coherent Utility Functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e., the shareholders.
- Open Access
- 2 November 2018
- Published by MDPI AG in Preprints.org
Surplus Sharing with Coherent Utility Functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e. the shareholders.
- 2 November 2018
- Published by MDPI AG in Preprints.org
Open AccessSurplus Sharing with Coherent Utility Functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e. the shareholders.
- Open Access
Surplus sharing with coherent utility functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e. the shareholders.
Open AccessSurplus sharing with coherent utility functions
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e. the shareholders.