Convex order and comonotonic conditional mean risk sharing
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Publication:2445340
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Cited in
(49)- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Efron's monotonicity property for measures on \(\mathbb{R}^2\)
- Reducing risk by merging counter-monotonic risks
- Borch's theorem from the perspective of comonotonicity
- Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Investing in your own and peers' risks: the simple analytics of P2P insurance
- Stop-loss protection for a large P2P insurance pool
- Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
- Multivariate risk sharing and the derivation of individually rational Pareto optima
- The uncertain premium principle based on the distortion function
- Risk reducers in convex order
- From risk sharing to pure premium for a large number of heterogeneous losses
- From risk reduction to risk elimination by conditional mean risk sharing of independent losses
- Insights to systematic risk and diversification across a joint probability distribution
- Risk sharing under the mean-variance expected utility
- General convex order on risk aggregation
- Convex ordering for insurance preferences
- Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
- Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”
- Mortality credits within large survivor funds
- Large-loss behavior of conditional mean risk sharing
- Modern life-care tontines
- Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
- Peer-to-peer risk sharing with an application to flood risk pooling
- A stochastic model of group wealth responses to insurance mechanisms in low-income communities
- Optimal design for network mutual aid
- Risk aggregation with FGM copulas
- Conditional mean risk sharing of independent discrete losses in large pools
- Pareto efficiency for the concave order and multivariate comonotonicity
- A unified theory of decentralized insurance
- An axiomatic characterization of the quantile risk-sharing rule
- Risk sharing rule and safety loading in a peer to peer cooperative insurance model
- No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses
- Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game
- Individual survivor fund account: the impact of bequest motives on tontine participation
- Optimal design of fixed and variable costs in peer-to-peer insurance with heterogeneous risk
- Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates
- Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
- On the optimality of linear residual risk sharing
- Editorial: Special issue on risk sharing
- Conditional expectations given the sum of independent random variables with regularly varying densities
- A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules
- Efficient evaluation of risk allocations
- Tree-structured Markov random fields with Poisson marginal distributions
- Comonotonicity and Pareto optimality, with application to collaborative insurance
- On a risk model with tree-structured Poisson Markov random field frequency, with application to rainfall events
- On convex order and supermodular order without finite mean
- Peer-to-Peer Risk-Sharing Schemes with Heterogeneity and Infinite-Mean Losses
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