Characterizing optimal allocations in quantile-based risk sharing (Q784448)
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scientific article; zbMATH DE number 7226844
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| English | Characterizing optimal allocations in quantile-based risk sharing |
scientific article; zbMATH DE number 7226844 |
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Characterizing optimal allocations in quantile-based risk sharing (English)
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3 August 2020
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risk sharing
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value-at-risk
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expected shortfall
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non-convexity
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Pareto optimality
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0.9270789
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0.91878927
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0.9069269
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0.8992481
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0.89829266
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0.89811575
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0.89766645
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0.88842934
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