OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

By Elyès Jouini, Walter Schachermayer, Nizar Touzi. 2008

234 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/093e7f954459f36b7a3648f7ca155176512c0886

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Citations in the corpus

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, unknown): “[13], or Klöppel and Schweizer [14, 15].”
RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010, background): “DOI: 10.1111/j.1467-9965.2010.00450.x C© 2010 Wiley Periodicals, Inc. 743 Frittelli and Rosazza Gianin (2004), Staum (2004), Filipović and Kupper (2008), and Jouini, Schachermayer, and Touzi (2008).”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “Journal Compilation C© 2009 Wiley Periodicals, Inc. 561 El Karoui and Quenez (1996), Carr, Geman, and Madan (2001), Frittelli and Rosazza Gianin (2004), Staum (2004), Filipovic and Kupper (2008), and Jouini, Schachermayer, and Touzi (2008).”
Continuity properties of law-invariant (quasi-)convex risk functions on L∞ (2010, unknown): “This may be no surprise, it seems obvious that the standardness of the underlying probability space should not play a prominent role, however we feel the necessity of clarifying this fact since the main result of [12] is often cited (see [1], [3], [8], [9], [11], [13], [14], [18], and many more).”
Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “In addition, Pareto-optimality in risk sharing with different risk measures can be found in Jouini et al. (2008), Filipovic and Svind- land (2008), Embrechts et al. (2016), and references therein.”
Risk minimizing portfolios and HJBI equations for stochastic differential games (2008, background): “It was observed in [19] that the negative of a convex risk measure can be interpreted 1Department of Mathematics and Applied Mathematics, University of KwaZulu-Natal, Westville Campus, P.”
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, background): “This contrasts with [4], [28], where it is supposed that the subsidiary has already entered into some commitments, which have involved the acceptance of cash balance K, say; their risk-sharing results then depend on the K for each subsidiary.”
On comonotonicity of Pareto optimal risk sharing (2008, background): “For instance, in Jouini et al. (2005), Ludkovski and Young (2007) finding Paretooptimal allocations is reduced to minimizing the linear function f(Y) := ∑n i=1 αiρi(Yi) over possible Lagrange multipliers αi ≥ 0.”
To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “Instead, they are often considered as utility-like decision functionals in risk exchange situations (Barrieu and El Karoui (2005), Jouini et al. (2007)) or tools for pricing in incomplete markets (Kl¨oppel and Schweizer, 2007).”