Optimal risk sharing with general deviation measures

DOI10.1007/S10479-010-0834-7zbMath1255.90089OpenAlexW1975961363MaRDI QIDQ1931641

Michael Zabarankin, Bogdan Grechuk

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0834-7

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Related Items (8)

Equilibrium in an ambiguity-averse mean-variance investors market ⋮ The center of a convex set and capital allocation ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Pareto-optimal reinsurance policies in the presence of individual risk constraints ⋮ Synergy effect of cooperative investment ⋮ COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES ⋮ A note on optimal risk sharing on $L^p$ spaces ⋮ Extended gradient of convex function and capital allocation

Cites Work

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• Generalized deviations in risk analysis
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• Coherent Measures of Risk
• Risk Tuning with Generalized Linear Regression
• Maximum Entropy Principle with General Deviation Measures
• OVERLAPPING SETS OF PRIORS AND THE EXISTENCE OF EFFICIENT ALLOCATIONS AND EQUILIBRIA FOR RISK MEASURES
• Perspectives of Risk Sharing
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Equilibrium in a Reinsurance Market

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