Data di Pubblicazione:
2024
Citazione:
Collective dynamic risk measures / A. Doldi, M. Frittelli, E.R. Gianin. - In: FRONTIERS OF MATHEMATICAL FINANCE. - ISSN 2769-6715. - (2024), pp. 1-24. [Epub ahead of print] [10.3934/fmf.2024012]
Abstract:
We extend the framework introduced in "Collective Arbitrage and the Value of Cooperation" by F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis (arXiv:2306.11599v2, 2024) in order to analyze collective dynamic risk measures. In segmented markets, we explore the implications of cooperation on dynamic risk measurement, focusing particularly on aggregation and time consistency.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Collective risk measures; Collective arbitrage; Risk sharing; Inf-convolution; Time consistency
Elenco autori:
A. Doldi, M. Frittelli, E.R. Gianin
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