Characterizing optimal allocations in quantile-based risk sharing
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- scientific article; zbMATH DE number 4020785
Cites work
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- Extremal dependence concepts
- Inf-convolution of risk measures and optimal risk transfer
- Infinite dimensional analysis. A hitchhiker's guide.
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- Microeconomic theory
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal risk sharing with non-monotone monetary functionals
- Optimal risk transfers in insurance groups
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Quantile-based risk sharing
- Quantile-based risk sharing with heterogeneous beliefs
- Quantitative risk management. Concepts, techniques and tools
- Regulatory arbitrage of risk measures
- Robustness and sensitivity analysis of risk measurement procedures
- Solvency II, or how to sweep the downside risk under the carpet
- Stochastic finance. An introduction in discrete time.
- To split or not to split: Capital allocation with convex risk measures
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Cited in
(10)- Inf-convolution and optimal allocations for mixed-VaRs
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- Risk allocation through shapley decompositions, with applications to variable annuities
- Optimal risk sharing with different reference probabilities
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Pairwise counter-monotonicity
- Risk Attribution Using the Shapley Value: Methodology and Policy Applications
- Quantile-based risk sharing
- Adjusted Rényi entropic value-at-risk
- Quantile-based risk sharing with heterogeneous beliefs
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