On comonotonicity of Pareto optimal risk sharing

By M. Ludkovski, Ludger Rüschendorf. 2008

61 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Soil Science

View Paper: https://www.semanticscholar.org/paper/dabf8189b7994c1848cf8ffce22b8543d2fe9002

How researchers see this paper

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

In Finance

1. Jan Dhaene
2. Michel Denuit
3. Marc J. Goovaerts
4. Rob Kaas

In Management Science and Operations Research

1. Michel Denuit
2. Jan Dhaene
3. Marc J. Goovaerts
4. Rob Kaas
5. Emiliano A. Valdez
6. Johana Nešlehová
7. Christian-Yann Robert
8. Steven Vanduffel

Citations in the corpus

• Convex order and comonotonic conditional mean risk sharing (2012, background): “This result has been extended to the general case by Dana & Meilijson (2003) and Ludkovski & Rüschendorf (2008).”