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Optimal capital and risk allocations for law- and cash-invariant convex functions

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  • Damir Filipović
  • Gregor Svindland

Abstract

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Suggested Citation

  • Damir Filipović & Gregor Svindland, 2008. "Optimal capital and risk allocations for law- and cash-invariant convex functions," Finance and Stochastics, Springer, vol. 12(3), pages 423-439, July.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439
    DOI: 10.1007/s00780-008-0069-5
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    References listed on IDEAS

    as
    1. Damir Filipovic & Michael Kupper, 2007. "On the Group Level Swiss Solvency Test," Research Paper Series 188, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Damir Filipović & Michael Kupper, 2008. "Equilibrium Prices For Monetary Utility Functions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 325-343.
    3. repec:hal:journl:hal-00538974 is not listed on IDEAS
    4. repec:dau:papers:123456789/361 is not listed on IDEAS
    5. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March.
    6. E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 269-292, April.
    7. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April.
    8. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Exact convolutions; Law-invariant risk measures; Optimal capital and risk allocations; 91B28; 91B30; G32; C62;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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