On expected utility for financial insurance portfolios with stochastic dependencies

DOI10.1016/j.ejor.2008.11.042zbMath1200.91143MaRDI QIDQ2379540

Laureano Fernando Escudero Bueno, Eva-María Ortega

Publication date: 19 March 2010

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2008.11.042

zbMATH Keywords

risk analysis; finance; stochastic dominance; utility theory

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91B70: Stochastic models in economics

91B16: Utility theory

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Functional ANOVA, ultramodularity and monotonicity: applications in multiattribute utility theory

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