Quantile-based risk sharing with heterogeneous beliefs
DOI10.1007/S10107-018-1313-1zbMATH Open1443.91102OpenAlexW2909397041WikidataQ87411836 ScholiaQ87411836MaRDI QIDQ2189443FDOQ2189443
Authors: Paul Embrechts, Haiyan Liu, Tiantian Mao, Ruodu Wang 
Publication date: 15 June 2020
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-018-1313-1
Recommendations
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Risk models (general) (91B05)
Cites Work
- Coherent measures of risk
- Quantitative risk management. Concepts, techniques and tools
- Extremal dependence concepts
- Modeling, measuring and managing risk
- Some remarks on the value-at-risk and the conditional value-at-risk
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Stochastic finance. An introduction in discrete time.
- Inf-convolution of risk measures and optimal risk transfer
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Multistage stochastic optimization
- Handbook on systemic risk
- Ambiguity in portfolio selection
- General equilibrium theory. An introduction.
- Optimal risk sharing with different reference probabilities
- Subdifferential representations of risk measures
- Equilibrium in risk-sharing games
- Seven proofs for the subadditivity of expected shortfall
- A review on ambiguity in stochastic portfolio optimization
Cited In (26)
- Reinsurance games with two reinsurers: tree versus chain
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Systemic optimal risk transfer equilibrium
- Weighted comonotonic risk sharing under heterogeneous beliefs
- A numerical approach for a class of risk-sharing problems
- Are reference measures of law-invariant functionals unique?
- Risk sharing under heterogeneous beliefs without convexity
- Risk sharing for capital requirements with multidimensional security markets
- Inf-convolution and optimal allocations for mixed-VaRs
- When \(q\) theory meets large losses risks and agency conflicts
- Competitive equilibria in a comonotone market
- Equilibria and efficiency in a reinsurance market
- Collective dynamic risk measures
- On the elicitability of range value at risk
- Pairwise counter-monotonicity
- The strong Fatou property of risk measures
- Characterizing optimal allocations in quantile-based risk sharing
- On measures, pricing and sharing of risk
- Sharing the value‐at‐risk under distributional ambiguity
- Group cohesion under individual regulatory constraints
- Sharing risk -- an economic perspective
- Special issue: On the interface between optimization and probability
- Bilateral risk sharing with heterogeneous beliefs and exposure constraints
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Multivariate systemic optimal risk transfer equilibrium
- Quantile-based risk sharing
Uses Software
This page was built for publication: Quantile-based risk sharing with heterogeneous beliefs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2189443)
