Characterizing optimal allocations in quantile-based risk sharing

DOI10.1016/J.INSMATHECO.2020.06.001MaRDI QIDQ784448zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

expected shortfallPareto optimalityvalue-at-riskrisk sharingnon-convexity

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Quantile-based risk sharing
• Quantile-based risk sharing with heterogeneous beliefs
• Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
• Optimal risk sharing under distorted probabilities
• Optimal risk sharing with different reference probabilities
• 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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• Quantile-based risk sharing
• Quantile-based risk sharing with heterogeneous beliefs
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• To split or not to split: Capital allocation with convex risk measures
• Worst-case range value-at-risk with partial information

Cited in

(10)

• Quantile-based risk sharing
• 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
• Optimal risk sharing with different reference probabilities
• Pairwise counter-monotonicity
• Adjusted Rényi entropic value-at-risk
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications

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Uses Software

• QRM

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