Collective dynamic risk measures

Academic Article

Publication Date:

2024

Citation:

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.

IRIS type:

01 - Articolo su periodico

Keywords:

Collective risk measures; Collective arbitrage; Risk sharing; Inf-convolution; Time consistency

List of contributors: