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Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures
Mastrogiacomo, Elisa - 2014
Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...
Persistent link: https://www.econbiz.de/10013060083
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The (Re)allocation of Bank Risk
Bekaert, Geert - 2020
) more severe than the domestic concentration of non-bank corporate securities and sovereign debt. Fifth, re-allocation is …
Persistent link: https://www.econbiz.de/10012848093
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On the rate allocation problem under co-existance of uncertain utility function parameters and uncertain link capacities
Gąsior, Dariusz; Orski, Donat - In: Journal of the Operational Research Society : OR 65 (2014) 10, pp. 1562-1570
Persistent link: https://www.econbiz.de/10010416649
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An allocation mechanism, a measure of risk aversion and an experiment
Marrewijk, Charles van - 1990
Persistent link: https://www.econbiz.de/10000783164
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Allocating resources in an uncertain world : water management and endangered species
Woodward, Richard T.; Shaw, William D. - In: American journal of agricultural economics 90 (2008) 3, pp. 593-605
Persistent link: https://www.econbiz.de/10003727749
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Connection situations under uncertainty
Moretti, Stefano; Alparslan-Gök, S. Zeynep; Brânzei, … - 2008
Persistent link: https://www.econbiz.de/10003752497
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Risk transfer with CDOs
Krahnen, Jan Pieter (contributor);  … - 2008
. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in …
Persistent link: https://www.econbiz.de/10003768041
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Differentiability of the efficient frontier when commitment to risk sharing is limited
Koeppl, Thorsten V. (contributor) - In: Topics in macroeconomics 6 (2006) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10003310325
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Kapitalallokation bei elliptischverteilten Risiken
Marquardt, Benjamin - In: Risikomanagement, (pp. 37-65). 2005
Persistent link: https://www.econbiz.de/10003339284
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Capital allocation and risk contribution with discrete-time coherent risk
Cherny, Alexander S. - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 13-40
Persistent link: https://www.econbiz.de/10003818201