Borch's theorem from the perspective of comonotonicity

DOI10.1016/j.insmatheco.2013.11.006zbMath1403.91191OpenAlexW2002133786MaRDI QIDQ2015483

Ka Chun Cheung, Yian Rong, Sheung Chi Phillip Yam

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.006

zbMATH Keywords

Pareto optimalitycomonotonicityBorch's theoremexpected utility paradigmoptimal risk exchange

Mathematics Subject Classification ID

Related Items (5)

Probabilistic solutions for a class of deterministic optimal allocation problems ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ The optimal insurance under disappointment theories ⋮ Borch's theorem, equal margins, and efficient allocation ⋮ Efficient allocations under law-invariance: a unifying approach

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