Optimal risk transfer for agents with germs

DOI10.1016/J.INSMATHECO.2010.03.003MaRDI QIDQ661203zbMATH OpenOpenAlexFDO

Authors Peng Li, J. George Shanthikumar, Andrew Lim

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.2010.03.003

zbMATH Keywords

convex risk measuregeneralized entropic risk measuregeneralized exponential premiumintertemporal source-dependent quotient sharingoptimal risk transferrisk managementrisk sharing

Mathematics Subject Classification ID

Recommendations

• Inf-convolution of risk measures and optimal risk transfer
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• Optimal risk transfer under quantile-based risk measurers
• Optimal risk sharing with different reference probabilities

Cites work

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• Inf-convolution of risk measures and optimal risk transfer
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• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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• Pricing, hedging, and designing derivatives with risk measures
• Stochastic finance. An introduction in discrete time

Cited in

(2)

• Optimal risk transfer under quantile-based risk measurers
• Systemic optimal risk transfer equilibrium

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