Optimal risk allocation for convex risk functionals in general risk domains

DOI10.1515/STRM-2012-1156MaRDI QIDQ490351zbMATHOpenAlexFDO

Authors Swen Kiesel, Ludger Rüschendorf

Publication date 22 January 2015

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2012-1156

zbMATH Keywords

expected utilityOrlicz spaceoptimal reinsurance problemoptimal risk allocationOrlicz heartrisk functional

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Financial applications of other theories (91G80)

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Cited in

(13)

• Optimization of expected shortfall on convex sets
• On optimal allocation of risk vectors
• scientific article; zbMATH DE number 714490 (Why is no real title available?)
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Distributions with heavy tails in Orlicz spaces
• Risk and Utility in the Duality Framework of Convex Analysis
• On the optimal risk allocation problem
• Biconvex Models and Algorithms for Risk Management Problems
• Risk functionals with convex level sets
• Synergy effect of cooperative investment
• Characterization of optimal risk allocations for convex risk functionals
• Scalar and Vector Risk in the General Framework of Portfolio Theory
• An optimal allocation of risk and insurance problems

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