Risk sharing for capital requirements with multidimensional security markets

DOI10.1007/s00780-019-00402-6zbMath1430.91032arXiv1809.10015OpenAlexW3125962284MaRDI QIDQ2274226

Gregor Svindland, Felix-Benedikt Liebrich

Publication date: 19 September 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.10015

zbMATH Keywords

equilibriacapital requirementslaw-invariant acceptance setsmultidimensional security spacesPareto-optimal risk allocationspolyhedral acceptance setsrobustness of optimal allocations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Risk models (general) (91B05)

Related Items (5)

Systemic optimal risk transfer equilibrium ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Combining multi-asset and intrinsic risk measures ⋮ Optimal multivariate financial decision making ⋮ Optimal risk-sharing across a network of insurance companies

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