Collective dynamic risk measures

DOI10.3934/FMF.2024012MaRDI QIDQ6643153zbMATH OpenFDO

Authors Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin

Publication date 26 November 2024

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/FMF.2024012

zbMATH Keywords

inf-convolutionrisk sharingtime consistencycollective arbitragecollective risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial markets (91G15)

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Cited in

(2)

• Collective completeness and pricing hedging duality
• Collective arbitrage and the value of cooperation

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