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Items for "Pareto optimal risk allocation"

On the optimal risk allocation problem

The optimal risk allocation problem or equivalently the problem of risk sharing is the problem to allocate a risk in an optimal way to n traders endowed with risk measures ρ1,...,ρn...

Keywords: Pareto optimal risk allocation, risk sharing, risk measures, Equilibrium

01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag