Risk sharing with lambda value at risk

DOI10.1287/MOOR.2023.0246MaRDI QIDQ7024077zbMATH OpenFDO

Authors Peng Liu

Publication date 21 February 2025

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://repository.essex.ac.uk/37616/1/Risk%20sharing%20with%20Lambda-VaR-revision.pdf

zbMATH Keywords

distortion risk measureexpected shortfallexpected utilityinf-convolutionlambda value at riskrank-dependent expected utilityrisk sharingvalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited in

(5)

• Robust -quantiles and extremal distributions
• Co-opetition in reinsurance markets: when Pareto meets Stackelberg and Nash
• Optimal risk sharing for lambda value-at-risk
• Risk sharing with lambda value-at-risk under heterogeneous beliefs
• Numerical methods for lambda quantiles: robust evaluation and portfolio optimization

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