Optimal risk sharing with non-monotone monetary functionals
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 11 (2007)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- 91B - - - - - -
- 46N - - - - - -
- 91B - - - - - -
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- Dana, Rose-Anne & Scarsini, Marco, 2007.
"Optimal risk sharing with background risk,"
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27-2004, ICER - International Centre for Economic Research, revised Dec 2004.
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- Massimo Marinacci & Fabio Maccheroni & Aldo Rustichini & Marco Taboga, 2005. "Portfolio Selection with Monotone Mean-Variance Preferences," Finance 0502014, EconWPA.
- Touzi, Nizar & Schachermayer, Walter & Jouini, Elyès, 2006. "Law Invariant Risk Measures Have the Fatou Property," Economics Papers from University Paris Dauphine 123456789/342, Paris Dauphine University.
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- Pauline Barrieu & Nicole El Karoui, 2005. "Inf-convolution of risk measures and optimal risk transfer," Finance and Stochastics, Springer, vol. 9(2), pages 269-298, 04.
- Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 19, July.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
- Beatrice Acciaio & Gregor Svindland, 2009. "Optimal risk sharing with different reference probabilities," LSE Research Online Documents on Economics 50119, London School of Economics and Political Science, LSE Library.
- Damir Filipović & Gregor Svindland, 2008. "Optimal capital and risk allocations for law- and cash-invariant convex functions," Finance and Stochastics, Springer, vol. 12(3), pages 423-439, July.
- Claudia Ravanelli & Gregor Svindland, 2014. "Comonotone Pareto optimal allocations for law invariant robust utilities on L 1," Finance and Stochastics, Springer, vol. 18(1), pages 249-269, January.
- Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
- Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
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