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q-fin.MF2019
Multivariate Systemic Optimal Risk Transfer Equilibrium
Alessandro Doldi, Marco Frittelli
A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics (2021), for the analysis o…
q-fin.MF2019
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…