Multivariate systemic optimal risk transfer equilibrium

DOI10.1007/S10479-022-04652-0MaRDI QIDQ6549604zbMATH OpenFDO

Authors Alessandro Doldi, Marco Frittelli

Publication date 4 June 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-04652-0

zbMATH Keywords

equilibriumrisk transfer equilibriumsystemic risksystemic utility maximization

Mathematics Subject Classification ID

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

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