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Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167

Persistent link: https://www.econbiz.de/10011349444

Loss-averse preferences and portfolio choices : an extension

Eeckhoudt, Louis R.; Fiori, Anna Maria; Rosazza Gianin, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 224-230

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On Haezendonck risk measures

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994

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Capital allocation for set-valued risk measures

Centrone, Francesca; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-16

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Capital allocation à la Aumann-Shapley for non-differentiable risk measures

Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675

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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