Optimal capital and risk allocations for law- and cash-invariant convex functions

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

Business, Finance, Risk Management +14

Inf-convolution of risk measures and optimal risk transfer

Pauline Barrieu, Nicole El Karoui · Finance and Stochastics · 2005 · 309 citations · Full text

Business, Finance, Risk Management +14

OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

Elyès Jouini, Walter Schachermayer, Nizar Touzi · Mathematical Finance · 2008 · 246 citations · Full text

Business, Economics, Insurance +17

RISK MEASURES ON ORLICZ HEARTS

Patrick Cheridito, Tianhui Li · Mathematical Finance · 2009 · 221 citations

Business, Finance, Mathematics +12

Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion

Michael Landsberger, Isaac Meilijson · Annals of Operations Research · 1994 · 168 citations

Business, Business Economics, Economics +17