Multivariate systemic optimal risk transfer equilibrium

DOI10.1007/S10479-022-04652-0zbMATH Open1537.91346MaRDI QIDQ6549604FDOQ6549604

Authors Alessandro Doldi, Marco Frittelli

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

equilibriumsystemic risksystemic utility maximizationrisk transfer equilibrium

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Utility theory (91B16) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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