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q-fin.RM2025
A General Theory of Risk Sharing
Vasily Melnikov
We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agent…
q-fin.RM2024
Risk Measure Duality Without Structure
Vasily Melnikov
We study risk measures on vector spaces of random variables which a priori have little structure, such as spaces lacking law invariance or a lattice structure. Ensuring the existen…