Quantile-Based Risk Sharing
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Publication:4971388
DOI10.1287/opre.2017.1716zbMath1455.91274OpenAlexW3123093843MaRDI QIDQ4971388
Paul Embrechts, Haiyan Liu, Ruodu Wang
Publication date: 12 October 2020
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.2017.1716
Related Items (46)
Systemic optimal risk transfer equilibrium ⋮ On quantile based co-risk measures and their estimation ⋮ Star-Shaped Risk Measures ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ Optimal reinsurance with model uncertainty and Stackelberg game ⋮ Parametric measures of variability induced by risk measures ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Risk measures induced by efficient insurance contracts ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Peer-to-peer risk sharing with an application to flood risk pooling ⋮ Inf-convolution and optimal allocations for mixed-VaRs ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ A framework for measures of risk under uncertainty ⋮ Diversification quotients based on VaR and ES ⋮ Pairwise counter-monotonicity ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers ⋮ Equilibria and efficiency in a reinsurance market ⋮ Tail variance allocation, Shapley value, and the majorization problem ⋮ Adjusted higher-order expected shortfall ⋮ WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS ⋮ PELVE: probability equivalent level of VaR and ES ⋮ Optimal risk sharing in insurance networks. An application to asset-liability management ⋮ Scenario-based risk evaluation ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Weak comonotonicity ⋮ A Theory for Measures of Tail Risk ⋮ Optimal risk allocation in reinsurance networks ⋮ Is the inf-convolution of law-invariant preferences law-invariant? ⋮ On the elicitability of range value at risk ⋮ Centers of probability measures without the mean ⋮ Competitive equilibria in a comonotone market ⋮ Simulation methods for robust risk assessment and the distorted mix approach ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Adjusted Rényi entropic value-at-risk ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures ⋮ Robustness in the Optimization of Risk Measures
Uses Software
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