We extend the framework introduced in 'Collective Arbitrage and the Value of Cooperation' by F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli, and T. Meyer-Brandis (arXiv: 2306.11599v2, 2024) in order to analyze collective dynamic risk measures. In segmented markets, we explore the implications of cooperation on dynamic risk measurement, focusing particularly on aggregation and time consistency.
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Doldi et al. (2024) studied this question.
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