Optimal risk sharing with general deviation measures

Annals of Operations Research

Volumn 200, Issue 1, 2012, Pages 9-21

  Grechuk, Bogdan ^a   Zabarankin, Michael ^b  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

^b Stevens Institute of Technology   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84867403945     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-010-0834-7     Document Type: Article

References (19)

1. Aase, K. (2002). Perspectives of risk sharing. Scandinavian Actuarial Journal, 2, 73-128.
2. Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9, 203-227.
3. Borch, K. H. (1962). Equilibrium in a reinsurance market. Econometrica, 30, 424-44.
4. Burgert, C., & Ruschendorf, L. (2008). Allocation of risks and equilibrium in markets with finitely many traders. Insurance. Mathematics & Economics, 42(1), 177-188.
5. Dana, R.-A. (2005). A representation result for concave Schur-concave functions. Mathematical Finance, 15(4), 613-634.
6. Dana, R.-A., & Le Van, C. (2007). Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures. EconPapers.
7. Follmer, H., & Schied, A. (2004). Stochastic finance (2nd edn.). Berlin: de Gruyter.
8. Grechuk, B., Molyboha, A., & Zabarankin, M. (2008). Mean-deviation analysis in the theory of choice. Preprint.
9. Grechuk, B., Molyboha, A., & Zabarankin, M. (2009a). Cooperative games with general deviation measures. Under the second stage of review in Mathematical Finance.
10. Grechuk, B., Molyboha, A., & Zabarankin, M. (2009b). Maximum entropy principle with general deviation measures. Mathematics of Operations Research, 34(2), 445-467.
11. Jouini, E., Schachermayer, W., & Touzi, N. (2008). Optimal risk sharing for law invariant monetary utility functions. Mathematical Finance, 18(2), 269-292.
12. Kusuoka, S. (2001). On law invariant coherent risk measures. Advances in Mathematical Economics, 3, 83-95.
13. Landsberger, M., & Meilijson, I. (1994). Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operation Research, 52, 97-106.
14. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2002) Deviation measures in risk analysis and optimization (Report 2002-7). ISE Dept., Univ. of Florida.
15. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2006a). Generalized deviations in risk analysis. Finance and Stochastics, 10(1), 51-74.
16. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2006b). Optimality conditions in portfolio analysis with general deviation measures. Mathematical Programming, 108(2-3), 515-540.
17. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2006c). Master funds in portfolio analysis with general deviation measures. The Journal of Banking and Finance, 30(2), 743-77.
18. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2007). Equilibrium with investors using a diversity of deviation measures. The Journal of Banking and Finance, 31(11), 3251-3268.
19. Rockafellar, R. T., Uryasev, S., & Zabarankin, M. (2008). Risk tuning with generalized linear regression. Mathematics of Operations Research, 33(3), 712-729.