Optimal risk allocation for convex risk functionals in general risk domains

DOI10.1515/strm-2012-1156zbMath1308.91083OpenAlexW574034934MaRDI QIDQ490351

Swen Kiesel, Ludger Rüschendorf

Publication date: 22 January 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2012-1156

zbMATH Keywords

Orlicz spaceexpected utilityoptimal reinsurance problemoptimal risk allocationOrlicz heartrisk functional

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80)

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