Dr. F.B. (Felix-Benedikt) Liebrich
Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Bezoekadres
- Roetersstraat 11
- Kamernummer: 4.25
Postadres
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Postbus 15867
1001 NJ Amsterdam
Contactgegevens
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Publicaties
2025
Amarante, M., Liebrich, F.-B., & Munari, C. (2025). Uniqueness of convex-ranged probabilities and applications to risk measures and games. Mathematics of operations research, 50(1), 743-763. https://doi.org/10.1287/moor.2023.0015 [details]- Christian Laudagé, Liebrich, F. B., & Jörn Sass (2025). Multi-asset return risk measures. ASTIN Bulletin. https://doi.org/10.1017/asb.2025.10055
- Laudagé, C., & Liebrich, F. B. (2025). When risk defies order: On the limits of fractional stochastic dominance. Manuscript submitted for publication. https://arxiv.org/abs/2509.24747
- Liebrich, F. B., & Munari, C. (2025). Revisiting the automatic Fatou property of law-invariant functionals. SIAM Journal on Financial Mathematics. https://doi.org/10.1137/24M1653021
- Liebrich, F. B., & Wang, R. (2025). Eliciting reference measures of law-invariant functionals. Manuscript submitted for publication.
2024
- Amarante, M., & Liebrich, F.-B. (2024). Distortion risk measures: Prudence, coherence, and the Expected Shortfall. Mathematical Finance, 34(4), 1291-1327. https://doi.org/10.1111/mafi.12435 [details]
- Liebrich, F.-B. (2024). Are reference measures of law-invariant functionals unique? Insurance: Mathematics and Economics, 118, 129-141. https://doi.org/10.1016/j.insmatheco.2024.06.004 [details]
- Liebrich, F.-B. (2024). Risk sharing under heterogeneous beliefs without convexity. Finance and Stochastics, 28, 999–1033. https://doi.org/10.1007/s00780-024-00540-6 [details]
2022
- Liebrich, F. B., & Munari, C. (2022). Law-invariant functionals that collapse to the mean: Beyond convexity. Mathematics and Financial Economics. https://doi.org/10.1007/s11579-022-00313-9
- Liebrich, F. B., & Nendel, M. (2022). Separability versus robustness of Orlicz spaces: Financial and economic perspectives. SIAM Journal on Financial Mathematics. https://doi.org/10.1137/21M1418794
- Liebrich, F. B., Maggis, M., & Svindland, G. (2022). Model uncertainty: A reverse approach. SIAM Journal on Financial Mathematics. https://doi.org/10.1137/21M1425463
2019
- Liebrich, F. B., & Svindland, G. (2019). Efficient allocations under law-invariance: A unifying approach. Journal of Mathematical Economics. https://doi.org/10.1016/j.jmateco.2019.05.002
- Liebrich, F. B., & Svindland, G. (2019). Risk sharing for capital requirements with multidimensional security markets. Finance and Stochastics. https://doi.org/10.1007/s00780-019-00402-6
2017
- Liebrich, F. B., & Svindland, G. (2017). Model spaces for risk measures. Insurance: Mathematics and Economics.
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Nevenwerkzaamheden
Geen nevenwerkzaamheden
Amarante, M., Liebrich, F.-B., & Munari, C. (2025). Uniqueness of convex-ranged probabilities and applications to risk measures and games. Mathematics of operations research, 50(1), 743-763.