Optimal risk sharing with general deviation measures

DOI10.1007/s10479-010-0834-7zbMath1255.90089MaRDI QIDQ1931641

Michael Zabarankin, Bogdan Grechuk

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0834-7

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

90C15: Stochastic programming

Related Items

Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures, COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES, Equilibrium in an ambiguity-averse mean-variance investors market, The center of a convex set and capital allocation, Synergy effect of cooperative investment, Pareto-optimal reinsurance policies in the presence of individual risk constraints, A note on optimal risk sharing on $L^p$ spaces, Extended gradient of convex function and capital allocation

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