OPTIMAL NUMERAIRES FOR RISK MEASURES

DOI10.1111/J.1467-9965.2007.00336.XzbMath1138.91496OpenAlexW3021657372MaRDI QIDQ3502125

Michael Kupper, Damir Filipović

Publication date: 22 May 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00336.x

Mathematics Subject Classification ID

Related Items (18)

Set optimization of set-valued risk measures ⋮ Systemic optimal risk transfer equilibrium ⋮ Intragroup transfers, intragroup diversification and their risk assessment ⋮ Optimal risk transfers in insurance groups ⋮ Optimal risk sharing under distorted probabilities ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Optimal multivariate financial decision making ⋮ Liquidity-adjusted risk measures ⋮ Efficient risk allocation within a non-life insurance group under Solvency II regime ⋮ Optimal risk transfer for agents with germs ⋮ ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS ⋮ Weighted risk capital allocations ⋮ Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims ⋮ Risk Measures for Portfolio Vectors and Allocation of Risks ⋮ Optimal capital and risk allocations for law- and cash-invariant convex functions ⋮ Solvency II, or how to sweep the downside risk under the carpet ⋮ To split or not to split: Capital allocation with convex risk measures ⋮ Optimal risk sharing with different reference probabilities

Cites Work

• Monotone and cash-invariant convex functions and hulls
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Risk Measures and Efficient use of Capital

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