Borch's theorem from the perspective of comonotonicity

DOI10.1016/J.INSMATHECO.2013.11.006MaRDI QIDQ2015483zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Pareto optimalitycomonotonicityBorch's theoremexpected utility paradigmoptimal risk exchange

Mathematics Subject Classification ID

Utility theory (91B16)

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• Convex majorization with an application to the length of critical paths
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• Equilibrium in a Reinsurance Market
• Optimal positioning in derivative securities
• Perspectives of Risk Sharing
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• The herd behavior index: a new measure for the implied degree of co-movement in stock markets
• Utility Functions

Cited in

(7)

• scientific article; zbMATH DE number 33500 (Why is no real title available?)
• 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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