A numerical approach for a class of risk-sharing problems

DOI10.1016/J.JMATECO.2010.10.004MaRDI QIDQ533900zbMATH OpenOpenAlexFDO

Authors Guillaume Carlier, Aimé Lachapelle

Publication date 10 May 2011

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2010.10.004

zbMATH Keywords

calculus of variationsnumerical approximationcomonotonicityrisk-sharingsup-convolution

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic models in economics (91B70)

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• Non-additive measure and integral
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Cited in

(15)

• A numerical approach to utility functions in risk theory
• Optimal sharing rule for a household with a portfolio management problem
• Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
• Equimeasurable rearrangements with capacities
• Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
• Risk allocation through shapley decompositions, with applications to variable annuities
• scientific article; zbMATH DE number 1989772 (Why is no real title available?)
• The average risk sharing problem under risk measure and expected utility theory
• Risk Sharing with Deep Neural Networks
• Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
• The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
• Risk transportation via a clique number problem formulation.
• Restrictions and identification in a multidimensional risk-sharing problem
• Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory
• Multi-period risk sharing under financial fairness

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