Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo Systemic optimal risk transfer equilibrium. (English) Zbl 1461.91337 Math. Financ. Econ. 15, No. 2, 233-274 (2021). MSC: 91G45 PDFBibTeX XMLCite \textit{F. Biagini} et al., Math. Financ. Econ. 15, No. 2, 233--274 (2021; Zbl 1461.91337) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco Disentangling price, risk and model risk: V&R measures. (English) Zbl 1404.91138 Math. Financ. Econ. 12, No. 2, 219-247 (2018). MSC: 91B30 49N15 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, Math. Financ. Econ. 12, No. 2, 219--247 (2018; Zbl 1404.91138) Full Text: DOI arXiv
Frittelli, Marco; Scandolo, Giacomo Risk measure and capital requirements for processes. (English) Zbl 1130.91030 Math. Finance 16, No. 4, 589-612 (2006). MSC: 91B30 60A10 91B70 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{G. Scandolo}, Math. Finance 16, No. 4, 589--612 (2006; Zbl 1130.91030) Full Text: DOI