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Optimal capital and risk allocations for law- and cash-invariant convex functions

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Author Info
Damir Filipović ()
Gregor Svindland ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-008-0069-5
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 12 (2008)
Issue (Month): 3 (July)
Pages: 423-439
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Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439

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Related research
Keywords: Exact convolutions; Law-invariant risk measures; Optimal capital and risk allocations; 91B28; 91B30; G32; C62;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March. [Downloadable!] (restricted)
  2. Damir Filipovic & Michael Kupper, 2007. "On the Group Level Swiss Solvency Test," Research Paper Series 188, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  3. E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Blackwell Publishing, vol. 18(2), pages 269-292. [Downloadable!] (restricted)
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  4. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April. [Downloadable!] (restricted)
  5. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August. [Downloadable!] (restricted)
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