Coherent risk measure, equilibrium and equilibrium pricing

DOI10.1016/J.INSMATHECO.2006.02.010zbMATH Open1273.91237OpenAlexW2037607389MaRDI QIDQ865612FDOQ865612

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

Recommendations

• Pareto Equilibria with coherent measures of risk
• Allocation of risks and equilibrium in markets with finitely many traders
• Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
• Pricing with Coherent Risk
• Coherent risk measures and good-deal bounds

zbMATH Keywords

coherent risk measureequilibrium pricingPareto equilibriumArrow-Debreu equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52)

Cites Work

• Coherent measures of risk
• Robust Statistics
• The Dual Theory of Choice under Risk
• Maxmin expected utility with non-unique prior
• Subjective Probability and Expected Utility without Additivity
• Microeconomic theory
• Risk Exchange with Distorted Probabilities
• Intertemporal Asset Pricing under Knightian Uncertainty
• Uncertainty and Risk in Financial Markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• Arbitrage and the Existence of Competitive Equilibrium
• Sharing Beliefs: Between Agreeing and Disagreeing
• Pareto Equilibria with coherent measures of risk
• Strong conical hull intersection property, bounded linear regularity, Jameson's property \((G)\), and error bounds in convex optimization
• Title not available (Why is that?)
• On convex principles of premium calculation
• Real effects of money in general equilibrium
• Title not available (Why is that?)
• Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
• Take-over bids and stock market equilibrium
• Linear-convex control and duality

Cited In (11)

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

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