Borch's theorem from the perspective of comonotonicity

DOI10.1016/J.INSMATHECO.2013.11.006zbMATH Open1403.91191OpenAlexW2002133786MaRDI QIDQ2015483FDOQ2015483

Authors: K. C. Cheung, Yian Rong, Sheung Chi Phillip Yam 

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.006

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zbMATH Keywords

Pareto optimalitycomonotonicityBorch's theoremexpected utility paradigmoptimal risk exchange

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Convex analysis and monotone operator theory in Hilbert spaces
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• Stochastic finance. An introduction in discrete time.
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• The concept of comonotonicity in actuarial science and finance: theory.
• Convex order and comonotonic conditional mean risk sharing
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• Equilibrium in a Reinsurance Market
• Optimal positioning in derivative securities
• Perspectives of Risk Sharing
• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Utility Functions
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• Conditional comonotonicity
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Characterizations of Conditional Comonotonicity
• Applications of conditional comonotonicity to some optimization problems
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Cited In (7)

• Title not available (Why is that?)
• Borch's theorem, equal margins, and efficient allocation
• Efficient allocations under law-invariance: a unifying approach
• The optimal insurance under disappointment theories
• Risk exchange I: A unification of some existing results
• Probabilistic solutions for a class of deterministic optimal allocation problems
• Optimal capital allocation for individual risk model using a mean-variance principle

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