Dual utilities on risk aggregation under dependence uncertainty

DOI10.1007/s00780-019-00399-yzbMath1426.91115OpenAlexW2954673385WikidataQ127550754 ScholiaQ127550754MaRDI QIDQ2274230

Zuo Quan Xu, Ruodu Wang, Xun Yu Zhou

Publication date: 19 September 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-019-00399-y

zbMATH Keywords

dependence uncertaintyconditional joint mixabilitydual utility

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Actuarial science and mathematical finance (91G99) Risk models (general) (91B05)

Related Items (3)

Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction ⋮ BILATERAL RISK SHARING WITH HETEROGENEOUS BELIEFS AND EXPOSURE CONSTRAINTS

Uses Software

• QRM

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