Optimal risk sharing with non-monotone monetary functionals

DOI10.1007/s00780-007-0036-6zbMath1143.91024OpenAlexW2139926592MaRDI QIDQ2463715

Beatrice Acciaio

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1007/s00780-007-0036-6

zbMATH Keywords

convex dualityrisk measuresrisk sharing

Mathematics Subject Classification ID

Related Items (26)

Equilibrium in risk-sharing games ⋮ Systemic optimal risk transfer equilibrium ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ Intragroup transfers, intragroup diversification and their risk assessment ⋮ The composite iteration algorithm for finding efficient and financially fair risk-sharing rules ⋮ Jensen's inequality for monetary utility functions ⋮ The effect of market power on risk-sharing ⋮ Optimal risk sharing under distorted probabilities ⋮ Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\) ⋮ Inf-convolution and optimal allocations for mixed-VaRs ⋮ A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification ⋮ EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS ⋮ WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS ⋮ Optimal risk sharing in insurance networks. An application to asset-liability management ⋮ Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) ⋮ On optimal allocation of risk vectors ⋮ Short note on inf-convolution preserving the Fatou property ⋮ Synergy effect of cooperative investment ⋮ Optimal capital and risk allocations for law- and cash-invariant convex functions ⋮ Quantile-Based Risk Sharing ⋮ Optimal risk sharing with different reference probabilities ⋮ General Pareto Optimal Allocations and Applications to Multi-Period Risks ⋮ Unnamed Item ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Cites Work

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