Applications of conditional comonotonicity to some optimization problems

DOI10.1016/j.insmatheco.2009.04.003zbMath1231.91159MaRDI QIDQ659099

Ka Chun Cheung

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.04.003

zbMATH Keywords

best approximation; conditional comonotonicity; policy limits

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

62L20: Stochastic approximation

Related Items

Borch's theorem from the perspective of comonotonicity, Comonotonicity and low volatility effect

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An optimization approach to the dynamic allocation of economic capital
• Stochastic orders of scalar products with applications
• Worst allocations of policy limits and deductibles
• Improved convex upper bound via conditional comonotonicity
• Worst VaR scenarios: A remark
• Optimal allocation of policy limits and deductibles under distortion risk measures
• Non-additive measure and integral
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Conditional comonotonicity
• Isotonic approximation in \(L_{1}\)
• Optimal allocation of policy limits and deductibles
• Best approximants in L 1 space
• Integral Representation Without Additivity
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• The Dual Theory of Choice under Risk
• Almost everywhere convergence of prediction sequence in L p (1 < p < ?)
• Characterizations of Conditional Comonotonicity
• Stochastic finance. An introduction in discrete time