Please Note: This seminar will be given online.
|
Actuarial Science and Financial Mathematics seminar series Pablo Koch-Medina, Associate Professor Link to join seminar: Hosted on Webex |
Law-invariant functionals that collapse to the mean
We discuss when law-invariant convex functionals "collapse to the mean''. More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity assumptions, the expectation functional is the only law-invariant convex functional that is linear along the direction of a nonconstant random variable with nonzero expectation. This extends results obtained in the literature under additional assumptions. We illustrate the implications of our general results for pricing rules.