Inf-convolution and optimal allocations for mixed-VaRs
Year of publication: |
2023
|
---|---|
Authors: | Xia, Zichao ; Zou, Zhenfeng ; Hu, Taizhong |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 108.2023, p. 156-164
|
Subject: | Model uncertainty | Quantile | Risk measure | Risk sharing | Risiko | Risk | Theorie | Theory | Risikomaß | Risikomanagement | Risk management |
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