Sharing the value‐at‐risk under distributional ambiguity

DOI10.1111/mafi.12296zbMath1522.91317OpenAlexW3033797852MaRDI QIDQ6054142

Weijun Xie, Zhi Chen

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12296

zbMATH Keywords

value-at-riskrisk sharingconditional value-at-riskdistributionally robust optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Cooperative games (91A12)

Related Items (6)

ALSO-X and ALSO-X+: Better Convex Approximations for Chance Constrained Programs ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Data-driven distributionally robust risk-averse two-stage stochastic linear programming over Wasserstein ball ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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