Group cohesion under individual regulatory constraints

DOI10.1080/03461238.2021.1934104zbMath1492.91283arXiv2010.01428OpenAlexW3168700414MaRDI QIDQ5083401

Freddy Delbaen, Delia Coculescu

Publication date: 20 June 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.01428

zbMATH Keywords

coherent risk measuresexpected shortfallrisk regulationgroup diversification

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

Fairness principles for insurance contracts in the presence of default risk

Cites Work

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• Quantile-based risk sharing with heterogeneous beliefs
• Inf-convolution of risk measures and optimal risk transfer
• Coherent Measures of Risk
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• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• Pareto Equilibria with coherent measures of risk
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

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