Optimal risk sharing under distorted probabilities (Q1932519)

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Optimal risk sharing under distorted probabilities
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    title
    Optimal risk sharing under distorted probabilities (English)
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    author
    Michael Ludkovski
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    Virginia R. Young
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    publication date
    20 January 2013
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    Mathematics Subject Classification ID
    91B30
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    91B32
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    62P05
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    46E30
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    zbMATH DE Number
    6127165
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    zbMATH Keywords
    distortion risk measures
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    comonotonicity
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    risk sharing
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    Pareto optimal allocations
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    OpenAlex ID
    W3102340514
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    arXiv ID
    0809.3778
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    cites work
     
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