Characterization of optimal risk allocations for convex risk functionals

DOI10.1524/stnd.2008.1001zbMath1171.91351OpenAlexW612335159MaRDI QIDQ5191263

Ludger Rüschendorf, Swen Kiesel

Publication date: 29 July 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/10e5884b5cfa6747038facfdbc21d2855e9b648e

zbMATH Keywords

convex risk measuresoptimal risk allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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