On optimal allocation of risk vectors

DOI10.1016/j.insmatheco.2010.05.005zbMath1231.91202OpenAlexW1964809385MaRDI QIDQ661232

Swen Kiesel, Ludger Rüschendorf

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.2010.05.005

zbMATH Keywords

comonotonicityoptimal risk allocationsworst case portfolio

Mathematics Subject Classification ID

Related Items (4)

Efficient portfolios in financial markets with proportional transaction costs ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ Intragroup transfers, intragroup diversification and their risk assessment ⋮ Efficient risk allocation within a non-life insurance group under Solvency II regime

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