The strong Fatou property of risk measures
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DOI: 10.1515/demo-2018-0012
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References listed on IDEAS
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- Felix-Benedikt Liebrich & Gregor Svindland, 2018. "Risk sharing for capital requirements with multidimensional security markets," Papers 1809.10015, arXiv.org.
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Keywords
Fatou property; strong Fatou property; super Fatou property; dual representations; law-invariant risk measures; surplus-invariant risk measures; inf-convolutions;All these keywords.
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