Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/kap/annfin/v5y2009i2p281-287.html
   My bibliography  Save this article

Short note on inf-convolution preserving the Fatou property

Author

Listed:
  • Beatrice Acciaio
Abstract
No abstract is available for this item.

Suggested Citation

  • Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
    • Handle: RePEc:kap:annfin:v:5:y:2009:i:2:p:281-287
    DOI: 10.1007/s10436-008-0107-5
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10436-008-0107-5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10436-008-0107-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:dau:papers:123456789/342 is not listed on IDEAS
    2. E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 269-292, April.
    3. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April.
    4. Pauline Barrieu & Nicole El Karoui, 2005. "Inf-convolution of risk measures and optimal risk transfer," Finance and Stochastics, Springer, vol. 9(2), pages 269-298, April.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    7. repec:dau:papers:123456789/361 is not listed on IDEAS
    8. Barrieu, Pauline & El Karoui, Nicole, 2005. "Inf-convolution of risk measures and optimal risk transfer," LSE Research Online Documents on Economics 2829, London School of Economics and Political Science, LSE Library.
    9. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
    2. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," LSE Research Online Documents on Economics 50119, London School of Economics and Political Science, LSE Library.
    3. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
    4. Davide La Torre & Marco Maggis, 2012. "A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification," Papers 1201.1783, arXiv.org, revised Sep 2012.
    5. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
    6. Claudia Ravanelli & Gregor Svindland, 2014. "Comonotone Pareto optimal allocations for law invariant robust utilities on L 1," Finance and Stochastics, Springer, vol. 18(1), pages 249-269, January.
    7. Svindland Gregor, 2009. "Subgradients of law-invariant convex risk measures on L," Statistics & Risk Modeling, De Gruyter, vol. 27(02), pages 169-199, December.
    8. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
    9. Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan, 2018. "The average risk sharing problem under risk measure and expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 170-179.
    10. Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George, 2010. "Optimal risk transfer for agents with germs," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 1-12, August.
    11. Zou, Zhenfeng & Hu, Taizhong, 2024. "Adjusted higher-order expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 1-12.
    12. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
    13. Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
    14. Sarah Bensalem & Nicolás Hernández Santibáñez & Nabil Kazi-Tani, 2019. "Prevention efforts, insurance demand and price incentives under coherent risk measures," Working Papers hal-01983433, HAL.
    15. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
    16. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
    17. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
    18. Bellini, Fabio & Rosazza Gianin, Emanuela, 2008. "On Haezendonck risk measures," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 986-994, June.
    19. Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
    20. Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.

    More about this item

    Keywords

    Monetary utility functions; Fatou property; Fenchel–Legendre transform; Convolution; D81;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:annfin:v:5:y:2009:i:2:p:281-287. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.