Optimal capital and risk transfers for group diversification

Mathematical Finance

Volumn 18, Issue 1, 2008, Pages 55-76

  Filipović, Damir ^a   Kupper, Michael ^a  

^a Vienna Institute of Finance   (Austria)

Author keywords

Convex risk measures; Diversification under legal constraints; Existence of equilibrium; Optimal capital and risk transfer

Indexed keywords

EID: 37248998894     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00322.x     Document Type: Article

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