Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
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Publication:2342737
DOI10.1007/s11579-014-0139-8zbMath1320.91087arXiv1512.03641OpenAlexW3121728749MaRDI QIDQ2342737
Emanuela Rosazza Gianin, Elisa Mastrogiacomo
Publication date: 29 April 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.03641
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Related Items (13)
The average risk sharing problem under risk measure and expected utility theory ⋮ Systemic optimal risk transfer equilibrium ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ The strong Fatou property of risk measures ⋮ Quantile-Based Risk Sharing ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Prevention efforts, insurance demand and price incentives under coherent risk measures ⋮ Efficient allocations under law-invariance: a unifying approach
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