Core of convex distortions of a probability.
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Publication:1421884
DOI10.1016/S0022-0531(03)00122-4zbMATH Open1078.28003MaRDI QIDQ1421884FDOQ1421884
Authors: Guillaume Carlier, R. A. Dana 
Publication date: 3 February 2004
Published in: Journal of Economic Theory (Search for Journal in Brave)
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capacityChoquet integralcoredifferentiabilityportfolio selectionminimizerrisk sharingsuperdifferentialconvex distortionmaximiser
Inequalities; stochastic orderings (60E15) Nonsmooth analysis (49J52) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Contents, measures, outer measures, capacities (28A12)
Cites Work
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- Extreme Points of Some Convex Subsets of L 1 (0, 1)
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- A bibliographical note on a theorem of Hardy, Littlewood, and Polya
Cited In (37)
- Cost-efficient contingent claims with market frictions
- Representation of the core of convex measure games via Kantorovich potentials
- Co-monotonicity of optimal investments and the design of structured financial products
- Rearrangement inequalities in non-convex insurance models
- Ambiguity on the insurer's side: the demand for insurance
- A characterization of the core of convex games through Gâteaux derivatives
- Differentiability properties of rank-linear utilities
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
- Are generalized call-spreads efficient?
- Behavioral optimal insurance
- Diversification, convex preferences and non-empty core in the Choquet expected utility model.
- Optimal risk sharing with non-monotone monetary functionals
- A numerical approach for a class of risk-sharing problems
- Optimal demand for contingent claims when agents have law invariant utilities
- Asset allocation with distorted beliefs and transaction costs
- Equimeasurable rearrangements with capacities
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Pricing under dynamic risk measures
- Coherence and elicitability
- Differentiating ambiguity and ambiguity attitude
- On comonotonicity of Pareto optimal risk sharing
- A Neyman-Pearson problem with ambiguity and nonlinear pricing
- Robust optimal risk sharing and risk premia in expanding pools
- Risk Measures and Robust Optimization Problems
- When an event makes a difference
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Weighted V\@R and its properties
- Distortion risk measures: prudence, coherence, and the expected shortfall
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- On two approaches to coherent risk contribution
- Bipolar behavior of submodular, law-invariant capacities
- To split or not to split: Capital allocation with convex risk measures
- Bowley vs. Pareto optima in reinsurance contracting
- Capital allocation for portfolios with non-linear risk aggregation
- Choquet utility from distorted probabilities: a characterization
- Optimal insurance design under rank-dependent expected utility
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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