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Cites work
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- A weaker regularity condition for subdifferential calculus and Fenchel duality in infinite dimensional spaces.
- Allocation of risks and equilibrium in markets with finitely many traders
- Characterization of optimal risk allocations for convex risk functionals
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Equilibrium in a Reinsurance Market
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- scientific article; zbMATH DE number 3511076 (Why is no real title available?)
- scientific article; zbMATH DE number 204196 (Why is no real title available?)
- scientific article; zbMATH DE number 4113816 (Why is no real title available?)
- Inf-convolution of risk measures and optimal risk transfer
- Law invariant convex risk measures for portfolio vectors
- Multivariate comonotonicity
- On comonotonicity of Pareto optimal risk sharing
- On convex principles of premium calculation
- On the optimal risk allocation problem
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk sharing with non-monotone monetary functionals
- Pareto Equilibria with coherent measures of risk
- The concept of comonotonicity in actuarial science and finance: applications.
Cited in
(23)- On the cyclical allocation of risk
- Vector risk functions
- Efficient portfolios in financial markets with proportional transaction costs
- Intragroup transfers, intragroup diversification and their risk assessment
- Excess based allocation of risk capital
- Optimal capital allocations to interdependent actuarial risks
- Inf-convolution and optimal allocations for mixed-VaRs
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- On a capital allocation by minimization of some risk indicators
- Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm
- General Pareto Optimal Allocations and Applications to Multi-Period Risks
- On the optimal risk allocation problem
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Risk Measures for Portfolio Vectors and Allocation of Risks
- Balanced Risk Set Matching
- Competitive equilibria with distortion risk measures
- Optimal risk allocation for convex risk functionals in general risk domains
- Characterization of optimal risk allocations for convex risk functionals
- On optimal portfolio diversification with respect to extreme risks
- On risk evaluation and control of distributed multi-agent systems
- Efficiency in pure-exchange economies with risk-averse monetary utilities
- Risk-balanced territory design optimization for a micro finance institution
- Efficient risk allocation within a non-life insurance group under Solvency II regime
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