Characterizing optimal allocations in quantile-based risk sharing
type: Item
instance of: scholarly article
title: Characterizing optimal allocations in quantile-based risk sharing
zbMATH Open document ID: 1446.91074
author: Ruodu Wang
author: Yunran Wei
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
Mathematics Subject Classification ID: 91G05
zbMATH DE Number: 7226844
zbMATH Keywords: risk sharing
zbMATH Keywords: value-at-risk
zbMATH Keywords: expected shortfall
zbMATH Keywords: non-convexity
zbMATH Keywords: Pareto optimality
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2020.06.001
OpenAlex ID: W3122801680
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DOI: 10.1016/J.INSMATHECO.2020.06.001
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description: scientific article; zbMATH DE number 7226844