Coherent risk measure, equilibrium and equilibrium pricing

DOI10.1016/J.INSMATHECO.2006.02.010MaRDI QIDQ865612zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 19 February 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.02.010

zbMATH Keywords

coherent risk measureequilibrium pricingPareto equilibriumArrow-Debreu equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52)

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Cites work

• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
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• Coherent measures of risk
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• Pareto Equilibria with coherent measures of risk
• Real effects of money in general equilibrium
• Risk Exchange with Distorted Probabilities
• Robust Statistics
• Sharing Beliefs: Between Agreeing and Disagreeing
• Strong conical hull intersection property, bounded linear regularity, Jameson's property \((G)\), and error bounds in convex optimization
• Subjective Probability and Expected Utility without Additivity
• Take-over bids and stock market equilibrium
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• Uncertainty and Risk in Financial Markets

Cited in

(11)

• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
• Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
• Optimal Risk Sharing for Maxmin Choquet Expected Utility Model
• Dynamic coherent acceptability indices and their applications to finance
• An axiomatic characterization of capital allocations of coherent risk measures
• Pricing with Coherent Risk
• Choquet pricing and equilibrium.
• Pareto Equilibria with coherent measures of risk
• Compatibility between pricing rules and risk measures: The CCVaR
• Coherent Risk Measures Derived from Utility Functions

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