Short note on inf-convolution preserving the Fatou property
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Publication:666299
DOI10.1007/S10436-008-0107-5zbMATH Open1233.91138OpenAlexW1990487872MaRDI QIDQ666299FDOQ666299
Publication date: 8 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-008-0107-5
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Cites Work
- Coherent measures of risk
- Stochastic finance. An introduction in discrete time
- Convex measures of risk and trading constraints
- Finitely Additive Measures
- Law invariant risk measures have the Fatou property
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Inf-convolution of risk measures and optimal risk transfer
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk sharing with non-monotone monetary functionals
- Hedging bounded claims with bounded outcomes
Cited In (8)
- Law-Invariant Functionals on General Spaces of Random Variables
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Risk sharing under heterogeneous beliefs without convexity
- Risk sharing for capital requirements with multidimensional security markets
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- The operation of infimal/supremal convolution in mathematical economics
- The strong Fatou property of risk measures
- Inf-convolution and optimal risk sharing with countable sets of risk measures
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