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Risk Sharing with Deep Neural Networks
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures.
Robust market-adjusted systemic risk measures
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no reference probability is assigned.
Adjusted Expected Shortfall
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution.
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