Optimal risk sharing under distorted probabilities
From MaRDI portal
Publication:1932519
DOI10.1007/s11579-009-0015-0zbMath1255.91182arXiv0809.3778MaRDI QIDQ1932519
Michael Ludkovski, Virginia R. Young
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0809.3778
62P05: Applications of statistics to actuarial sciences and financial mathematics
46E30: Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.)
91B32: Resource and cost allocation (including fair division, apportionment, etc.)
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