Characterization of optimal risk allocations for convex risk functionals

DOI10.1524/STND.2008.1001MaRDI QIDQ5191263zbMATH OpenOpenAlexFDO

Authors Swen Kiesel, Ludger Rüschendorf

Publication date 29 July 2009

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/10e5884b5cfa6747038facfdbc21d2855e9b648e

zbMATH Keywords

convex risk measuresoptimal risk allocation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(23)

• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Borch's theorem from the perspective of comonotonicity
• Convex risk functionals: representation and applications
• Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
• The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
• Robust optimal risk sharing and risk premia in expanding pools
• Inf-convolution and optimal allocations for mixed-VaRs
• An optimal allocation of risk and insurance problems
• The existence of the risk-efficient options
• Risk and Utility in the Duality Framework of Convex Analysis
• Convexity and differentiability of controlled risk
• General Pareto Optimal Allocations and Applications to Multi-Period Risks
• On the optimal risk allocation problem
• scientific article; zbMATH DE number 714490 (Why is no real title available?)
• Market price-based convex risk measures: a distribution-free optimization approach
• Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
• Optimal risk allocation for convex risk functionals in general risk domains
• Risk functionals with convex level sets
• Peer-to-peer risk sharing with an application to flood risk pooling
• Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
• On optimal allocation of risk vectors
• Short note on inf-convolution preserving the Fatou property
• Efficient risk allocation within a non-life insurance group under Solvency II regime

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