Inf-convolution of risk measures and optimal risk transfer

By Pauline Barrieu, Nicole El Karoui. Finance and Stochastics, 2005

316 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/58cbf4f4fc5587f1910757a885eab57281a9b788

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Finance

In Management Science and Operations Research

Citations in the corpus

Decision principles derived from risk measures (2010, background): “One easily veri es that if is an expectation operator, the optimal solvency capital principle that minimizes (3) is given by [X] = F 1 X (1 i): Here, as usual, we denote by F 1 X the left-continuous generalized inverse distribution function of the random variable X.”
Optimal risk sharing under distorted probabilities (2008, background): “Conversely, it contrasts with possibility of proportional risk sharing obtained in Barrieu and El Karoui [4] (and originally Borch [7]).”
A general theory of finite state Backward Stochastic Difference Equations (2008, background): “Y0 and E[Q(1) −Q2] = [1, 1] we find Y 1 0 − Y 2 0 = [ −1 −1 ]”
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, methodology): “We find that there is an optimal way to do this risk transfer, in terms of a sup-convolution (as in, for example, the study of Barrieu and El Karoui [4], Klöppel & Schweizer [29].”
BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration (2014, methodology): “Now we consider the case where p ∈ [1, 2).”
Risk measure pricing and hedging in incomplete markets (2006, background): “Barrieu and El Karoui [3] and [4] set up a minimization problem for risk measure subject to dynamic hedging similar to this paper.”
Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk (2007, methodology): “This has first been done in a static setting, as in Carr, Geman and Madan [15], Föllmer and Schied [36], Staum [62], Barrieu and El Karoui [6] and Bion-Nadal [11].”
Risk Measures and Robust Optimization Problems (2006, background): “It turns out that the optimal investment problem with uncertain drift can be solved by transforming it into a problem for uncertain volatility as studied by El Karoui et al.[27].”
Dynamic exponential utility indifference valuation (2005, background): “For the functional � 0 := C0(·; α), the exponential utility indifference value at time 0, this continuity could be deduced from the recent work of Barrieu and El Karoui [ 2 ]; see their Theorem 3.6 and Proposition 5.3.”