Optimal risk transfer for agents with germs
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Publication:661203
DOI10.1016/j.insmatheco.2010.03.003zbMath1231.91207OpenAlexW1964568477MaRDI QIDQ661203
Peng Li, J. George Shanthikumar, Andrew E. B. Lim
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.003
risk sharingrisk managementconvex risk measuregeneralized entropic risk measuregeneralized exponential premiumintertemporal source-dependent quotient sharingoptimal risk transfer
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Cites Work
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- Coherent Measures of Risk
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- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Pareto Equilibria with coherent measures of risk
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Convex Analysis
- Equilibrium in a Reinsurance Market
- Stochastic finance. An introduction in discrete time
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