Optimal risk transfer for agents with germs

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

zbMATH Keywords

risk sharingrisk managementconvex risk measuregeneralized entropic risk measuregeneralized exponential premiumintertemporal source-dependent quotient sharingoptimal risk transfer

Mathematics Subject Classification ID

Cites Work

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• Convex measures of risk and trading constraints
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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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