OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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Publication:5459958
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Coherent measures of risk
- Conditional comonotonicity
- Convex measures of risk and trading constraints
- Core of convex distortions of a probability.
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Equilibrium in a Reinsurance Market
- Inf-convolution of risk measures and optimal risk transfer
- Law invariant risk measures have the Fatou property
- Optimal risk sharing with background risk
- Pareto Equilibria with coherent measures of risk
- The concept of comonotonicity in actuarial science and finance: theory.
Cited in
(only showing first 100 items - show all)- Regulatory arbitrage of risk measures
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- General Pareto Optimal Allocations and Applications to Multi-Period Risks
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Hedging, Pareto optimality, and good deals
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Allocation of risks and equilibrium in markets with finitely many traders
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Systemic optimal risk transfer equilibrium
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- On optimal allocation of risk vectors
- Optimal risk sharing with background risk
- A note on optimal risk sharing on $L^p$ spaces
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Efficiency and equilibria in games of optimal derivative design
- Risk sharing for capital requirements with multidimensional security markets
- Weighted comonotonic risk sharing under heterogeneous beliefs
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Risk sharing with expected and dual utilities
- Characterizing optimal allocations in quantile-based risk sharing
- Prevention efforts, insurance demand and price incentives under coherent risk measures
- Optimal Risk-Sharing When Risk Preferences are Uncertain
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Optimal risk sharing with non-monotone monetary functionals
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
- An axiomatic characterization of capital allocations of coherent risk measures
- Jensen's inequality for monetary utility functions
- Convex risk functionals: representation and applications
- Short note on inf-convolution preserving the Fatou property
- Optimal derivatives design for mean-variance agents under adverse selection
- Equilibrium in risk-sharing games
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Bilateral risk sharing with heterogeneous beliefs and exposure constraints
- Competitive equilibria in a comonotone market
- Optimal risk sharing with different reference probabilities
- A note on Jensen's inequality involving monetary utility functions
- Optimal insurance in the presence of reinsurance
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
- Optimal risk transfer for agents with germs
- Extended gradient of convex function and capital allocation
- Cooperative games with general deviation measures
- Optimal demand for contingent claims when agents have law invariant utilities
- On comonotonicity of Pareto optimal risk sharing
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Synergy effect of cooperative investment
- Pareto-optimal reinsurance arrangements under general model settings
- The center of a convex set and capital allocation
- Inverse portfolio problem with coherent risk measures
- Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
- Monotone and cash-invariant convex functions and hulls
- Optimal risk sharing with general deviation measures
- To split or not to split: Capital allocation with convex risk measures
- Pareto efficiency for the concave order and multivariate comonotonicity
- Are time consistent valuations information monotone?
- Exchanges and measures of risks
- Solvency II, or how to sweep the downside risk under the carpet
- Quantile-based risk sharing
- Optimal multivariate financial decision making
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Optimal risk sharing under distorted probabilities
- Efficient allocations under law-invariance: a unifying approach
- Optimal risk-sharing under mutually singular beliefs
- The effect of market power on risk-sharing
- Cash subadditive risk measures and interest rate ambiguity
- A numerical approach for a class of risk-sharing problems
- Quantile-based risk sharing with heterogeneous beliefs
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- The strong Fatou property of risk measures
- Inf-convolution and optimal allocations for mixed-VaRs
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Risk redistribution games with dual utilities
- An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Multivariate systemic optimal risk transfer equilibrium
- Financial finance
- Optimal Risk Sharing for Maxmin Choquet Expected Utility Model
- On measures, pricing and sharing of risk
- Risk aversion in regulatory capital principles
- Automatic Fatou property of law-invariant risk measures
- The average risk sharing problem under risk measure and expected utility theory
- Risk sharing under heterogeneous beliefs without convexity
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- Law-Invariant Functionals on General Spaces of Random Variables
- Model spaces for risk measures
- Fairness principles for insurance contracts in the presence of default risk
- Revenue-sharing clubs provide economic insurance and incentives for sustainability in common-pool resource systems
- Minkowski deviation measures
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
- Valuation and pricing of electricity delivery contracts: the producer's view
- Adjusted higher-order expected shortfall
- Intragroup transfers, intragroup diversification and their risk assessment
- Collective dynamic risk measures
- Optimal risk transfer: a numerical optimization approach
- Robust return risk measures
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