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Inf-convolution of risk measures and optimal risk transfer

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Cited by:

  1. Claudia Ravanelli & Gregor Svindland, 2014. "Comonotone Pareto optimal allocations for law invariant robust utilities on L 1," Finance and Stochastics, Springer, vol. 18(1), pages 249-269, January.
  2. Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
  3. Samuel N. Cohen, 2017. "Data and uncertainty in extreme risks - a nonlinear expectations approach," Papers 1705.08301, arXiv.org, revised Feb 2018.
  4. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
  5. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
  6. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
  7. Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2186-2202, November.
  8. Michail Anthropelos & Constantinos Kardaras & Georgios Vichos, 2020. "Effective risk aversion in thin risk‐sharing markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1565-1590, October.
  9. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2015. "The pricing of contingent claims and optimal positions in asymptotically complete markets," Papers 1509.06210, arXiv.org, revised Sep 2016.
  10. Roorda, Berend & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.
  11. Robert Elliott & Tak Siu, 2010. "On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy," Annals of Operations Research, Springer, vol. 176(1), pages 271-291, April.
  12. Davide La Torre & Marco Maggis, 2012. "A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification," Papers 1201.1783, arXiv.org, revised Sep 2012.
  13. Cohen, Samuel N. & Elliott, Robert J., 2010. "A general theory of finite state Backward Stochastic Difference Equations," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 442-466, April.
  14. Burgert, Christian & Rüschendorf, Ludger, 2008. "Allocation of risks and equilibrium in markets with finitely many traders," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 177-188, February.
  15. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  16. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
  17. Sarah Bensalem & Nicolás Hernández Santibáñez & Nabil Kazi-Tani, 2019. "Prevention efforts, insurance demand and price incentives under coherent risk measures," Working Papers hal-01983433, HAL.
  18. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April.
  19. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
  20. Mrad Mohamed, 2020. "Mixture of consistent stochastic utilities, and a priori randomness," Post-Print hal-01728554, HAL.
  21. repec:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  22. Felix-Benedikt Liebrich, 2021. "Risk sharing under heterogeneous beliefs without convexity," Papers 2108.05791, arXiv.org, revised May 2022.
  23. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2016. "A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective," Papers 1603.09030, arXiv.org, revised Jan 2017.
  24. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  25. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  26. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
  27. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  28. Michail Anthropelos & Constantinos Kardaras, 2014. "Equilibrium in risk-sharing games," Papers 1412.4208, arXiv.org, revised Jul 2016.
  29. Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 14-27.
  30. Barrieu, Pauline & Loubergé, Henri, 2013. "Reinsurance and securitisation of life insurance risk: The impact of regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 135-144.
  31. Svindland Gregor, 2009. "Subgradients of law-invariant convex risk measures on L," Statistics & Risk Modeling, De Gruyter, vol. 27(02), pages 169-199, December.
  32. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
  33. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2021. "Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 302-319.
  34. Hirbod Assa & Peng Liu, 2024. "Factor risk measures," Papers 2404.08475, arXiv.org.
  35. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
  36. Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
  37. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
  38. Pauline Barrieu & Henri Loubergé, 2009. "Hybrid Cat Bonds," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 547-578, September.
  39. Shengzhong Chen & Niushan Gao & Foivos Xanthos, 2018. "The strong Fatou property of risk measures," Papers 1805.05259, arXiv.org.
  40. Johannes Leitner, 2008. "Convex pricing by a generalized entropy penalty," Papers 0804.0127, arXiv.org.
  41. Ivanov Roman V., 2018. "On risk measuring in the variance-gamma model," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 23-33, January.
  42. Chen Shengzhong & Gao Niushan & Xanthos Foivos, 2018. "The strong Fatou property of risk measures," Dependence Modeling, De Gruyter, vol. 6(1), pages 183-196, October.
  43. Rose-Anne Dana & Cuong Le Van, 2009. "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Post-Print halshs-00281582, HAL.
  44. Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010. "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers 2010-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  45. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
  46. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
  47. Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Feb 2017.
  48. Kiesel Swen & Rüschendorf Ludger, 2014. "Optimal risk allocation for convex risk functionals in general risk domains," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 335-365, December.
  49. Guo, Ivan & Zhu, Song-Ping, 2017. "Equal risk pricing under convex trading constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 136-151.
  50. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
  51. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
  52. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," LSE Research Online Documents on Economics 50119, London School of Economics and Political Science, LSE Library.
  53. Bellini Fabio & Rosazza Gianin Emanuela, 2008. "Optimal portfolios with Haezendonck risk measures," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 89-108, March.
  54. repec:dau:papers:123456789/2279 is not listed on IDEAS
  55. Mrad Mohamed, 2020. "Mixture of consistent stochastic utilities, and a priori randomness," Working Papers hal-01728554, HAL.
  56. Rose-Anne Dana & Cuong Le Van, 2008. "No-arbitrage, overlapping sets of priors and the existence of efficient allocations and equilibria in the presence of risk and ambiguity," Documents de travail du Centre d'Economie de la Sorbonne b08039, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
  57. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
  58. Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
  59. Tim J. Boonen & Fangda Liu & Ruodu Wang, 2021. "Competitive equilibria in a comonotone market," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 72(4), pages 1217-1255, November.
  60. Filipovic, Damir & Kupper, Michael, 2007. "Monotone and cash-invariant convex functions and hulls," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 1-16, July.
  61. Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
  62. Liu, Haiyan & Mao, Tiantian, 2022. "Distributionally robust reinsurance with Value-at-Risk and Conditional Value-at-Risk," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 393-417.
  63. Soumik Pal, 2006. "Capital Requirement for Achieving Acceptability," Papers math/0601627, arXiv.org.
  64. Francesca Biagini & Alessandro Doldi & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2019. "Systemic Optimal Risk Transfer Equilibrium," Papers 1907.04257, arXiv.org, revised Jun 2020.
  65. Mario Ghossoub & Qinghua Ren & Ruodu Wang, 2024. "Counter-monotonic risk allocations and distortion risk measures," Papers 2407.16099, arXiv.org.
  66. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  67. Matteo Burzoni & Alessandro Doldi & Enea Monzio Compagnoni, 2022. "Risk Sharing with Deep Neural Networks," Papers 2212.11752, arXiv.org, revised Jun 2023.
  68. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
  69. Alessandro Doldi & Marco Frittelli, 2019. "Multivariate Systemic Optimal Risk Transfer Equilibrium," Papers 1912.12226, arXiv.org, revised Oct 2021.
  70. Bensalem, Sarah & Santibáñez, Nicolás Hernández & Kazi-Tani, Nabil, 2020. "Prevention efforts, insurance demand and price incentives under coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 369-386.
  71. Hentati Rania & Prigent Jean-Luc, 2011. "On the maximization of financial performance measures within mixture models," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 63-80, March.
  72. Ulrich Horst & Matthias Müller, 2007. "On the Spanning Property of Risk Bonds Priced by Equilibrium," Mathematics of Operations Research, INFORMS, vol. 32(4), pages 784-807, November.
  73. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  74. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
  75. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
  76. Siu, Tak Kuen, 2016. "A functional Itô’s calculus approach to convex risk measures with jump diffusion," European Journal of Operational Research, Elsevier, vol. 250(3), pages 874-883.
  77. repec:dau:papers:123456789/2278 is not listed on IDEAS
  78. Michail Anthropelos, 2012. "The Effect of Market Power on Risk-Sharing," Papers 1206.0384, arXiv.org, revised May 2016.
  79. Felix-Benedikt Liebrich & Gregor Svindland, 2019. "Risk sharing for capital requirements with multidimensional security markets," Finance and Stochastics, Springer, vol. 23(4), pages 925-973, October.
  80. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
  81. repec:dau:papers:123456789/13348 is not listed on IDEAS
  82. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," PSE-Ecole d'économie de Paris (Postprint) halshs-00470670, HAL.
  83. Pazdera, Jaroslav & Schumacher, Johannes M. & Werker, Bas J.M., 2017. "The composite iteration algorithm for finding efficient and financially fair risk-sharing rules," Journal of Mathematical Economics, Elsevier, vol. 72(C), pages 122-133.
  84. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2021. "Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures," Papers 2107.01730, arXiv.org.
  85. Masaaki Fukasawa, 2014. "Efficient price dynamics in a limit order market: an utility indifference approach," Papers 1410.8224, arXiv.org.
  86. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2016. "Intragroup transfers, intragroup diversification and their risk assessment," Annals of Finance, Springer, vol. 12(3), pages 363-392, December.
  87. Michail Anthropelos & Constantinos Kardaras, 2017. "Equilibrium in risk-sharing games," Finance and Stochastics, Springer, vol. 21(3), pages 815-865, July.
  88. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
  89. Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
  90. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
  91. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  92. Zou, Zhenfeng & Wu, Qinyu & Xia, Zichao & Hu, Taizhong, 2023. "Adjusted Rényi entropic Value-at-Risk," European Journal of Operational Research, Elsevier, vol. 306(1), pages 255-268.
  93. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org.
  94. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  95. Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
  96. Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George, 2010. "Optimal risk transfer for agents with germs," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 1-12, August.
  97. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Post-Print halshs-00470670, HAL.
  98. Delia Coculescu & Freddy Delbaen, 2020. "Fairness principles for insurance contracts in the presence of default risk," Papers 2009.04408, arXiv.org.
  99. Felix-Benedikt Liebrich & Gregor Svindland, 2018. "Risk sharing for capital requirements with multidimensional security markets," Papers 1809.10015, arXiv.org.
  100. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
  101. Xia, Zichao & Zou, Zhenfeng & Hu, Taizhong, 2023. "Inf-convolution and optimal allocations for mixed-VaRs," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 156-164.
  102. repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  103. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Post-Print halshs-00308530, HAL.
  104. Wang, Ruodu & Wei, Yunran, 2020. "Characterizing optimal allocations in quantile-based risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 288-300.
  105. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  106. Ilhan, Aytaç & Jonsson, Mattias & Sircar, Ronnie, 2009. "Optimal static-dynamic hedges for exotic options under convex risk measures," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3608-3632, October.
  107. Xia Han & Qiuqi Wang & Ruodu Wang & Jianming Xia, 2021. "Cash-subadditive risk measures without quasi-convexity," Papers 2110.12198, arXiv.org, revised May 2024.
  108. Julio Backhoff & Ulrich Horst, 2014. "Conditional Analysis and a Principal-Agent problem," Papers 1412.4698, arXiv.org, revised Jun 2016.
  109. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  110. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
  111. Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
  112. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  113. Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76, January.
  114. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
  115. Kiesel, Swen & Rüschendorf, Ludger, 2010. "On optimal allocation of risk vectors," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 167-175, October.
  116. Rose-Anne Dana & Cuong Le Van, 2010. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," PSE-Ecole d'économie de Paris (Postprint) halshs-00308530, HAL.
  117. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
  118. Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
  119. Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan, 2018. "The average risk sharing problem under risk measure and expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 170-179.
  120. Delia Coculescu & Freddy Delbaen, 2020. "Group cohesion under individual regulatory constraints," Papers 2010.01428, arXiv.org.
  121. Spiros D. Dafnis & Frosso S. Makri, 2022. "Weak runs in sequences of binary trials," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(5), pages 573-603, July.
  122. Bellini, Fabio & Rosazza Gianin, Emanuela, 2008. "On Haezendonck risk measures," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 986-994, June.
  123. Nabil Kazi-Tani, 2018. "Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer," Working Papers hal-01742629, HAL.
  124. Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022. "An axiomatic theory for anonymized risk sharing," Papers 2208.07533, arXiv.org, revised May 2023.
  125. Masaaki Fukasawa & Mitja Stadje, 2018. "Perfect hedging under endogenous permanent market impacts," Finance and Stochastics, Springer, vol. 22(2), pages 417-442, April.
  126. Zou, Zhenfeng & Hu, Taizhong, 2024. "Adjusted higher-order expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 1-12.
  127. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July.
  128. Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
  129. Asimit, Vali & Boonen, Tim J., 2018. "Insurance with multiple insurers: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 778-790.
  130. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
  131. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
  132. Erio Castagnoli & Giacomo Cattelan & Fabio Maccheroni & Claudio Tebaldi & Ruodu Wang, 2021. "Star-shaped Risk Measures," Papers 2103.15790, arXiv.org, revised Apr 2022.
  133. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
  134. repec:dau:papers:123456789/2342 is not listed on IDEAS
  135. Ruodu Wang, 2016. "Regulatory arbitrage of risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 337-347, March.
  136. Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.
  137. Peng Liu & Andreas Tsanakas & Yunran Wei, 2024. "Risk sharing with Lambda value at risk under heterogeneous beliefs," Papers 2408.03147, arXiv.org, revised Sep 2024.
  138. Despoina Makariou & Pauline Barrieu & George Tzougas, 2021. "A Finite Mixture Modelling Perspective for Combining Experts’ Opinions with an Application to Quantile-Based Risk Measures," Risks, MDPI, vol. 9(6), pages 1-25, June.
  139. Rose-Anne Dana & Cuong Le Van, 2007. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Post-Print halshs-00188761, HAL.
  140. Bellini, Fabio & Rosazza Gianin, Emanuela, 2012. "Haezendonck–Goovaerts risk measures and Orlicz quantiles," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 107-114.
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