Applications of conditional comonotonicity to some optimization problems

DOI10.1016/J.INSMATHECO.2009.04.003MaRDI QIDQ659099zbMATH OpenOpenAlexFDO

Authors K. C. Cheung

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2009.04.003

zbMATH Keywords

best approximationconditional comonotonicitypolicy limits

Mathematics Subject Classification ID

Stochastic approximation (62L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Characterizations of Conditional Comonotonicity
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• On comonotonicity of Pareto optimal risk sharing
• Optimal allocation of policy limits and deductibles
• Weak comonotonicity

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 482236 (Why is no real title available?)
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Almost everywhere convergence of prediction sequence in L p (1 < p < ?)
• An optimization approach to the dynamic allocation of economic capital
• Best approximants in L 1 space
• Characterizations of Conditional Comonotonicity
• Comparison methods for stochastic models and risks
• Conditional comonotonicity
• Improved convex upper bound via conditional comonotonicity
• Integral Representation Without Additivity
• Isotonic approximation in \(L_{1}\)
• Non-additive measure and integral
• Optimal allocation of policy limits and deductibles
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Stochastic finance. An introduction in discrete time
• Stochastic orders of scalar products with applications
• The Dual Theory of Choice under Risk
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• Worst VaR scenarios: A remark
• Worst allocations of policy limits and deductibles

Cited in

(6)

• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• Borch's theorem from the perspective of comonotonicity
• Random distortion risk measures
• An overview of conditional comonotonicity and its applications
• On approximating law-invariant comonotonic coherent risk measures
• Comonotonicity and low volatility effect

This page was built for publication: Applications of conditional comonotonicity to some optimization problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q659099)