Inf-convolution and optimal risk sharing with vountable sets of risk measures

The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets of risk measures. In this study, we extend the inf-convolution of risk measures in its convex-combination form to a countable (not necessarily finite) set of alternatives. The intuitive principle of this approach a generalization of convex weights in the finite case. Subsequently, we extensively generalize known properties and results to this framework. Specifically, we investigate the preservation of properties, dual representations, optimal allocations, and self-convolution.