Abstract:We analyze the question of whether the inf-convolution of law-invariant risk functionals (preferences) is still law-invariant. In other words, we try to understand whether the representative economic agent (after risk redistribution) only cares about the distribution of the total risk, assuming all individual agents do so. Although the answer to the above question seems to be affirmative for many examples of commonly used risk functionals in the literature, the situation becomes delicate without assuming speci… Show more
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