OPTIMAL NUMERAIRES FOR RISK MEASURES

DOI10.1111/J.1467-9965.2007.00336.XMaRDI QIDQ3502125zbMATH OpenOpenAlexFDO

Authors Damir Filipović, Michael Kupper

Publication date 22 May 2008

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2007.00336.x

Mathematics Subject Classification ID

Recommendations

• Optimal risk transfers in insurance groups
• Optimal risk transfer and investment policies based upon stochastic differential utilities
• Optimal diversification in the presence of parameter uncertainty for a risk averse investor
• Capital allocation with multivariate convex risk measures
• Optimal capital allocations to interdependent actuarial risks
• Optimal capital allocation for individual risk model using a mean-variance principle
• Intragroup transfers, intragroup diversification and their risk assessment
• On optimal portfolio diversification with respect to extreme risks
• Optimal risk transfer under quantile-based risk measurers

Cites work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Monotone and cash-invariant convex functions and hulls
• Risk Measures and Efficient use of Capital

Cited in

(24)

• Optimal capital and risk allocations for law- and cash-invariant convex functions
• To split or not to split: Capital allocation with convex risk measures
• Optimal risk sharing with different reference probabilities
• Solvency II, or how to sweep the downside risk under the carpet
• Optimal risk sharing under distorted probabilities
• Liquidity-adjusted risk measures
• Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
• Intragroup transfers, intragroup diversification and their risk assessment
• A concept of copula robustness and its applications in quantitative risk management
• On the group level Swiss Solvency Test
• On agent's agreement and partial-equilibrium pricing in incomplete markets
• Risk Measures for Portfolio Vectors and Allocation of Risks
• Optimal risk transfers in insurance groups
• Diversification, protection of liability holders and regulatory arbitrage
• Group cohesion under individual regulatory constraints
• Does diversification promote risk reduction and profitability raise? Estimation of dynamic impacts using the pooled mean group model
• Optimal multivariate financial decision making
• Multivariate systemic optimal risk transfer equilibrium
• Optimal risk transfer for agents with germs
• Risk sharing under heterogeneous beliefs without convexity
• Set optimization of set-valued risk measures
• Systemic optimal risk transfer equilibrium
• Efficient risk allocation within a non-life insurance group under Solvency II regime
• Weighted risk capital allocations

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