Diversification, protection of liability holders and regulatory arbitrage

DOI10.1007/s11579-016-0171-yzbMath1404.91140arXiv1502.03252OpenAlexW2897037581MaRDI QIDQ506381

Mario Šikić, Pablo Koch-Medina, Cosimo Munari

Publication date: 31 January 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.03252

zbMATH Keywords

diversificationcapital adequacynuméraire invariancesolvency regulationsurplus invariance

Mathematics Subject Classification ID

Related Items (6)

Actuarial pricing with financial methods ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ A Theory for Measures of Tail Risk ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk ⋮ Surplus-Invariant Risk Measures

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• Dual representation of monotone convex functions on 𝐿⁰
• Stochastic finance. An introduction in discrete time

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