Characterizing optimal allocations in quantile-based risk sharing
From MaRDI portal
Publication:784448
DOI10.1016/j.insmatheco.2020.06.001zbMath1446.91074OpenAlexW3122801680MaRDI QIDQ784448
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.06.001
Related Items (5)
Inf-convolution and optimal allocations for mixed-VaRs ⋮ Pairwise counter-monotonicity ⋮ Unnamed Item ⋮ Adjusted Rényi entropic value-at-risk ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic finance. An introduction in discrete time.
- Optimal risk transfers in insurance groups
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- To split or not to split: Capital allocation with convex risk measures
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- Extremal dependence concepts
- Solvency II, or how to sweep the downside risk under the carpet
- Quantile-based risk sharing with heterogeneous beliefs
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Equilibrium in risk-sharing games
- Optimal risk sharing with non-monotone monetary functionals
- Inf-convolution of risk measures and optimal risk transfer
- Coherent Measures of Risk
- Mathematical Risk Analysis
- Robustness and sensitivity analysis of risk measurement procedures
- OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
- Worst-Case Range Value-at-Risk with Partial Information
- Quantile-Based Risk Sharing
- Regulatory arbitrage of risk measures
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
This page was built for publication: Characterizing optimal allocations in quantile-based risk sharing
