The theory we present aims at expanding the classical Arbitrage Pricing Theory to a setting where N agents invest in stochastic security markets while also engaging in zero-sum risk exchange mechanisms. We introduce in this setting the notions of Collective Arbitrage and of Collective Super-replication and accordingly establish versions of the fundamental theorem of asset pricing and of the pricing-hedging duality. When computing the Collective Super-replication price for a given vector of contingent claims, one for each agent in the system, allowing additional exchanges among the agents reduces the overall cost compared to classical individual super-replication. The positive difference between the aggregation (sum) of individual superhedging prices and the Collective Super-replication price represents the value of cooperation. Finally, we explain how these collective features can be associated with a broader class of risk measurement or cost assessment procedures beyond the superhedging framework. This leads to the notion of Collective Risk Measures, which generalize the idea of risk sharing and inf-convolution of risk measures.