Hi @PatriciaDelaet ...
Unfortunately, I'm not finding anything in official Canvas documentation where you can set an e-mail notification for content that is shared with you. Just as an example, I looked at this Guide: How do I send a page to another instructor? - Instructure Community - 1079. At the bottom of this Guide, there is a section on "View Shared Content". But, there's nothing about getting e-mail notifications. Also, I looked at How do I manage content shared to me from other us... - Instructure Community - 913, and there's nothing that I can find there, either. It seems that it's all within the Canvas interface at this time.
You could suggest this as a new feature to add to Canvas, though. Just know that the entire idea process is on hold at the moment because the Community site is undergoing some changes. You can read more about that at these links:
Also, here are the links you'll need for how to create an idea here in the Community:
I hope these links will be helpful for you. Good luck!!!