Inf-convolution of risk measures and optimal risk transfer
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Publication:2488480
DOI10.1007/s00780-005-0152-0zbMath1088.60037OpenAlexW2023147992MaRDI QIDQ2488480
Pauline Barrieu, Nicole El Karoui
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/2829/
Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
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