Quantile-based risk sharing
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Recommendations
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Cites work
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 2221693 (Why is no real title available?)
- scientific article; zbMATH DE number 3068856 (Why is no real title available?)
- A definition of qualitative robustness for general point estimators, and examples
- A note on generalized inverses
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Arrow-Debreu equilibria for rank-dependent utilities
- Coherence and elicitability
- Coherent measures of risk
- Comparative and qualitative robustness for law-invariant risk measures
- Convex measures of risk and trading constraints
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Equilibrium in a Reinsurance Market
- Existence of an Equilibrium for a Competitive Economy
- External risk measures and Basel accords
- Higher order elicitability and Osband's principle
- How superadditive can a risk measure be?
- Inf-convolution of risk measures and optimal risk transfer
- Law invariant convex risk measures
- Making and evaluating point forecasts
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Maxmin expected utility with non-unique prior
- Measures of systemic risk
- Model uncertainty and scenario aggregation
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- On elicitable risk measures
- On the measurement of economic tail risk
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Optimal insurance design under rank-dependent expected utility
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance under VaR and CTE risk measures
- Optimal risk sharing with non-monotone monetary functionals
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- Pareto Equilibria with coherent measures of risk
- Pareto efficiency for the concave order and multivariate comonotonicity
- Pareto optima and equilibria when preferences are incompletely known
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Qualitative and infinitesimal robustness of tail-dependent statistical functionals
- Quantitative risk management. Concepts, techniques and tools
- RISK MEASURES ON ORLICZ HEARTS
- Regulatory arbitrage of risk measures
- Remarks on quantiles and distortion risk measures
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Risk measures with the CxLS property
- Robust Statistics
- Robust optimal risk sharing and risk premia in expanding pools
- Robust optimization
- Robustness
- Robustness and sensitivity analysis of risk measurement procedures
- Seven proofs for the subadditivity of expected shortfall
- Stochastic dominance with respect to a capacity and risk measures
- Stochastic finance. An introduction in discrete time.
- Stochastic orders and risk measures: consistency and bounds
- Structured products equilibria in conic two price markets
- The concept of comonotonicity in actuarial science and finance: theory.
- The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
- To split or not to split: Capital allocation with convex risk measures
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
- Verification of internal risk measure estimates
Cited in
(76)- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- A framework for measures of risk under uncertainty
- Centers of probability measures without the mean
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Optimal risk allocation in reinsurance networks
- Systemic optimal risk transfer equilibrium
- On quantile based co-risk measures and their estimation
- Quantile-based risk sharing with heterogeneous beliefs
- Risk measures induced by efficient insurance contracts
- Stable risk-sharing
- Weighted comonotonic risk sharing under heterogeneous beliefs
- Range-based risk measures and their applications
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Diversification quotients based on VaR and ES
- Scenario-based risk evaluation
- Risk aversion in regulatory capital principles
- Calibrating Distribution Models from PELVE
- Pareto efficiency and financial fairness under limited expected loss constraint
- Optimal risk sharing for lambda value-at-risk
- Short communication: a note on robust risk-sharing with convex risk measures
- A data-driven framework for consistent financial valuation and risk measurement
- Pareto-optimal reinsurance policies with maximal synergy
- Risk aggregation under dependence uncertainty and an order constraint
- Risk sharing under heterogeneous beliefs without convexity
- Risk sharing for capital requirements with multidimensional security markets
- Inf-convolution and optimal allocations for mixed-VaRs
- Algorithmic Insurable Risk Portfolios
- Competitive equilibria in a comonotone market
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Star-Shaped Risk Measures
- Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers
- Equilibria and efficiency in a reinsurance market
- Is the inf-convolution of law-invariant preferences law-invariant?
- Multivariate portfolio choice via quantiles
- Risk sharing, measuring variability, and distortion riskmetrics
- An axiomatic characterization of the quantile risk-sharing rule
- Tail variance allocation, Shapley value, and the majorization problem
- Adjusted higher-order expected shortfall
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Weak comonotonicity
- Risk measures based on target risk profiles
- Efficiency in pure-exchange economies with risk-averse monetary utilities
- Robustness in the optimization of risk measures
- Collective dynamic risk measures
- Parametric measures of variability induced by risk measures
- Bayes risk, elicitability, and the Expected Shortfall
- A concept of copula robustness and its applications in quantitative risk management
- On the elicitability of range value at risk
- Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
- Pairwise counter-monotonicity
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- Characterizing optimal allocations in quantile-based risk sharing
- Optimal insurance design with lambda-value-at-risk
- Peer-to-peer risk sharing with an application to flood risk pooling
- Co-opetition in reinsurance markets: when Pareto meets Stackelberg and Nash
- Elicitability and identifiability of tail risk measures
- Multiple per-claim reinsurance based on maximizing the Lundberg exponent
- Sharing the value‐at‐risk under distributional ambiguity
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- Sharing risk -- an economic perspective
- Optimal reinsurance with model uncertainty and Stackelberg game
- Risk exchange under infinite-mean Pareto models
- On conditional distortion risk measures under uncertainty
- One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
- Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
- Editorial: Special issue on risk sharing
- A unified theory of decentralized insurance
- Multinomial backtesting of distortion risk measures
- PELVE: probability equivalent level of VaR and ES
- Adjusted Rényi entropic value-at-risk
- The impact of correlation on (Range) Value-at-Risk
- A dynamic model of central counterparty risk
- A theory for measures of tail risk
- Simulation methods for robust risk assessment and the distorted mix approach
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Multivariate systemic optimal risk transfer equilibrium
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