Inf-convolution of risk measures and optimal risk transfer
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- Reflected BSDEs with default time and irregular obstacles
- Risk aversion in regulatory capital principles
- Backward stochastic difference equations with finite states
- Risk measures and progressive enlargement of filtration: a BSDE approach
- Conditional Analysis and a Principal-Agent Problem
- SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
- Computing strategies for achieving acceptability: a Monte Carlo approach
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
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- scientific article; zbMATH DE number 2099869 (Why is no real title available?)
- Optimal risk sharing for lambda value-at-risk
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- Short communication: a note on robust risk-sharing with convex risk measures
- A quadratic hedging approach to comparison of catastrophe indices
- Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
- Insurance with multiple insurers: a game-theoretic approach
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Optimal reinsurance design with distortion risk measures and asymmetric information
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Efficiency and equilibria in games of optimal derivative design
- Risk Measures and Efficient use of Capital
- On securitization, market completion and equilibrium risk transfer
- Market consistent valuations with financial imperfection
- Exchanges and measures of risks
- Risk sharing under heterogeneous beliefs without convexity
- Fairness principles for insurance contracts in the presence of default risk
- Risk sharing for capital requirements with multidimensional security markets
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Optimal hedging with variational preferences under convex risk measures
- Recover dynamic utility from observable process: application to the economic equilibrium
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Dynamic conic hedging for competitiveness
- On optimal allocation of risk vectors
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Robust optimal risk sharing and risk premia in expanding pools
- On convex risk measures on \(L^{p}\)-spaces
- Inf-convolution and optimal allocations for mixed-VaRs
- Risk Measures and Robust Optimization Problems
- Competitive equilibria in a comonotone market
- The strictest common relaxation of a family of risk measures
- Star-Shaped Risk Measures
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- General Pareto Optimal Allocations and Applications to Multi-Period Risks
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Exhibiting abnormal returns under a risk averse strategy
- Multidimensional dynamic risk measure via conditional g-expectation
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- Is the inf-convolution of law-invariant preferences law-invariant?
- Equal risk pricing under convex trading constraints
- Multivariate portfolio choice via quantiles
- Dynamic exponential utility indifference valuation
- Risk sharing, measuring variability, and distortion riskmetrics
- Optimal derivatives design for mean-variance agents under adverse selection
- Allocation of risks and equilibrium in markets with finitely many traders
- Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
- A general theory of finite state backward stochastic difference equations
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Adjusted higher-order expected shortfall
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Optimal investment, derivative demand, and arbitrage under price impact
- Regulatory arbitrage of risk measures
- Inf-convolution of \(G\)-expectations
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Pricing, hedging, and designing derivatives with risk measures
- Risk measures in the form of infimal convolution
- Efficiency in pure-exchange economies with risk-averse monetary utilities
- Collective dynamic risk measures
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