Is the inf-convolution of law-invariant preferences law-invariant?
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Publication:2306099
DOI10.1016/j.insmatheco.2020.01.004zbMath1435.91064OpenAlexW2937729660MaRDI QIDQ2306099
Peng Liu, Ruodu Wang, Linxiao Wei
Publication date: 20 March 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/28165/1/infconvolution-1220.pdf
Related Items (5)
Star-Shaped Risk Measures ⋮ Automatic Fatou property of law-invariant risk measures ⋮ Inf-convolution and optimal allocations for mixed-VaRs ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures
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