Monotone and cash-invariant convex functions and hulls

DOI10.1016/j.insmatheco.2006.08.003zbMath1119.91051OpenAlexW2010573607MaRDI QIDQ997078

Michael Kupper, Damir Filipović

Publication date: 19 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.08.003

zbMATH Keywords

convex dualityinfimal convolutioninsurance regulationconstrained risk measuresmonotone and cash-invariant functions and hulls

Mathematics Subject Classification ID

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Cites Work

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• Optional decomposition and Lagrange multipliers
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• Coherent Measures of Risk
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Pareto Equilibria with coherent measures of risk
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Stochastic finance. An introduction in discrete time
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