Applications of conditional comonotonicity to some optimization problems

DOI10.1016/J.INSMATHECO.2009.04.003zbMATH Open1231.91159OpenAlexW2045529815MaRDI QIDQ659099FDOQ659099

Authors: K. C. 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

Recommendations

• Characterizations of Conditional Comonotonicity
• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• On comonotonicity of Pareto optimal risk sharing
• Optimal allocation of policy limits and deductibles
• Weak comonotonicity

zbMATH Keywords

best approximationconditional comonotonicitypolicy limits

Mathematics Subject Classification ID

Stochastic approximation (62L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Worst allocations of policy limits and deductibles
• Isotonic approximation in \(L_{1}\)
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• Conditional comonotonicity
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• Almost everywhere convergence of prediction sequence in L p (1 < p < ?)
• Characterizations of Conditional Comonotonicity
• Improved convex upper bound via conditional comonotonicity

Cited In (5)

• Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
• Borch's theorem from the perspective of comonotonicity
• Comonotonicity and low volatility effect
• An overview of conditional comonotonicity and its applications
• Random distortion risk measures

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