On the optimal risk allocation problem

By Burgert Christian, Rüschendorf Ludger. 2006

71 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/0daf895de6fb7d60bb71867cb68a5d7a7ea27753

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ludger Rüschendorf
2. M. Ludkovski
3. Shige Peng

In Finance

1. Ludger Rüschendorf
2. M. Ludkovski
3. Paul Embrechts
4. Ruodu Wang
5. Shige Peng

In Management Science and Operations Research

1. Ludger Rüschendorf
2. M. Ludkovski
3. Paul Embrechts
4. Ruodu Wang

Citations in the corpus

• On comonotonicity of Pareto optimal risk sharing (2008, background): “We also do not directly require ρ i to be convex; see (Burgert and Rüschendorf 2006, Prop 2.2b) for relationship between convexity of ρ and its consistency with ≤ cx .”
• On the distributional transform, Sklar's theorem, and the empirical copula process (2009, unknown): “(9) By some simple calculations (see Burgert and Rüschendorf (2006) one sees that CVRα(X) = − 1 α [EX1(X < qα) + qα(α− P (X < qα)] = ESα(X).”