Quantile-based risk sharing with heterogeneous beliefs

DOI10.1007/s10107-018-1313-1zbMath1443.91102OpenAlexW2909397041WikidataQ87411836 ScholiaQ87411836MaRDI QIDQ2189443

Haiyan Liu, Paul Embrechts, Ruodu Wang, Tiantian Mao

Publication date: 15 June 2020

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-018-1313-1

zbMATH Keywords

quantilescompetitive equilibriumrisk measuresrisk sharingnon-convexitybelief heterogeneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Risk models (general) (91B05)

Related Items (13)

Systemic optimal risk transfer equilibrium ⋮ Group cohesion under individual regulatory constraints ⋮ Special issue: On the interface between optimization and probability ⋮ Inf-convolution and optimal allocations for mixed-VaRs ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Pairwise counter-monotonicity ⋮ Equilibria and efficiency in a reinsurance market ⋮ WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS ⋮ The strong Fatou property of risk measures ⋮ On the elicitability of range value at risk ⋮ Competitive equilibria in a comonotone market ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

Uses Software

• QRM

Cites Work

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