Inf-convolution of risk measures and optimal risk transfer
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Minkowski deviation measures
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- Characterizing optimal allocations in quantile-based risk sharing
- Prevention efforts, insurance demand and price incentives under coherent risk measures
- The strong Fatou property of risk measures
- On risk measuring in the variance-gamma model
- Risk Measures for Portfolio Vectors and Allocation of Risks
- On dynamic deviation measures and continuous-time portfolio optimization
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- Equilibrium Pricing Under Relative Performance Concerns
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- On measures, pricing and sharing of risk
- Weak runs in sequences of binary trials
- To split or not to split: Capital allocation with convex risk measures
- Asset pricing theory for two price economies
- The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model
- Truncated moment-generating functions of the \(NIG\) process and their applications
- Group cohesion under individual regulatory constraints
- Risk measure pricing and hedging in incomplete markets
- Intragroup transfers, intragroup diversification and their risk assessment
- \(L^{p}\)-solutions for reflected backward stochastic differential equations
- Optimal risk transfer for agents with germs
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Adjusted Rényi entropic value-at-risk
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Short note on inf-convolution preserving the Fatou property
- The effect of market power on risk-sharing
- Risk measure pricing and hedging in the presence of transaction costs
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Multivariate systemic optimal risk transfer equilibrium
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- Convex pricing by a generalized entropy penalty
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Liquidity, risk measures, and concentration of measure
- The risk transfer of non-tradable risks under model uncertainty
- Quantile-based risk sharing
- Measuring risk with multiple eligible assets
- Combined custom hedging: optimal design, noninsurable exposure, and operational risk management
- A note on optimal risk sharing on $L^p$ spaces
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Systemic optimal risk transfer equilibrium
- Risk trading and endogenous probabilities in investment equilibria
- Quantile-based risk sharing with heterogeneous beliefs
- Optimal investment and contingent claim valuation in illiquid markets
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Weighted comonotonic risk sharing under heterogeneous beliefs
- Optimal risk sharing under distorted probabilities
- Equilibrium in risk-sharing games
- Risk minimization and optimal derivative design in a principal agent game
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- The average risk sharing problem under risk measure and expected utility theory
- Linear versus nonlinear allocation rules in risk sharing under financial fairness
- Portfolio risk minimization and differential games
- Risk aversion in regulatory capital principles
- Backward stochastic difference equations with finite states
- Risk measures and progressive enlargement of filtration: a BSDE approach
- Conditional Analysis and a Principal-Agent Problem
- SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
- Computing strategies for achieving acceptability: a Monte Carlo approach
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- Pricing and hedging in incomplete markets with model uncertainty
- scientific article; zbMATH DE number 2099869 (Why is no real title available?)
- Optimal risk sharing with non-monotone monetary functionals
- Optimal investment of an insurer with regime-switching and risk constraint
- A quadratic hedging approach to comparison of catastrophe indices
- Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
- Insurance with multiple insurers: a game-theoretic approach
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Optimal reinsurance design with distortion risk measures and asymmetric information
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Efficiency and equilibria in games of optimal derivative design
- Risk Measures and Efficient use of Capital
- On securitization, market completion and equilibrium risk transfer
- Market consistent valuations with financial imperfection
- Exchanges and measures of risks
- Risk sharing under heterogeneous beliefs without convexity
- Fairness principles for insurance contracts in the presence of default risk
- Risk sharing for capital requirements with multidimensional security markets
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Recover dynamic utility from observable process: application to the economic equilibrium
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Dynamic conic hedging for competitiveness
- On optimal allocation of risk vectors
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Robust optimal risk sharing and risk premia in expanding pools
- On convex risk measures on \(L^{p}\)-spaces
- Inf-convolution and optimal allocations for mixed-VaRs
This page was built for publication: Inf-convolution of risk measures and optimal risk transfer
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2488480)
