Characterizing optimal allocations in quantile-based risk sharing
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Publication:784448
DOI10.1016/J.INSMATHECO.2020.06.001zbMATH Open1446.91074OpenAlexW3122801680MaRDI QIDQ784448FDOQ784448
Authors: Ruodu Wang, Yunran Wei 
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.06.001
Recommendations
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- Optimal risk sharing with general deviation measures
- Optimal risk transfer under quantile-based risk measurers
- Optimal Risk-Sharing When Risk Preferences are Uncertain
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- scientific article; zbMATH DE number 4020785
Cites Work
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- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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- Solvency II, or how to sweep the downside risk under the carpet
- Quantile-based risk sharing with heterogeneous beliefs
- Equilibrium in risk-sharing games
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- Quantile-based risk sharing
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Cited In (10)
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Quantile-based risk sharing with heterogeneous beliefs
- Risk allocation through shapley decompositions, with applications to variable annuities
- Forecasting dependent tail value-at-risk by ARMA-GJR-GARCH-copula method and its application in energy risk
- Inf-convolution and optimal allocations for mixed-VaRs
- Pairwise counter-monotonicity
- Optimal risk sharing with different reference probabilities
- Risk Attribution Using the Shapley Value: Methodology and Policy Applications
- Adjusted Rényi entropic value-at-risk
- Quantile-based risk sharing
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