Kiesel, Swen; Rüschendorf, Ludger - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 335-365
Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of L p risks but also allows to describe the influence of dependence...