Short note on inf-convolution preserving the Fatou property
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Cites work
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- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Optimal risk sharing with non-monotone monetary functionals
- Stochastic finance. An introduction in discrete time
Cited in
(10)- The strong Fatou property of risk measures
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Risk sharing for capital requirements with multidimensional security markets
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- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Risk sharing under heterogeneous beliefs without convexity
- Law-Invariant Functionals on General Spaces of Random Variables
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
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- The operation of infimal/supremal convolution in mathematical economics
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