Journalartikel

Jahr der Veröffentlichung: 2016

Seiten: 202-207

Zeitschrift: Operations Research Letters

Bandnummer: 44

Heftnummer: 2

ISSN: 0167-6377

eISSN: 1872-7468

DOI Link: https://doi.org/10.1016/j.orl.2016.01.001

Verlag: Elsevier

Abstract: 
We study Pareto optimality and optimal risk sharing in terms of convex risk measures on L-p-spaces and provide a characterization result for Pareto optimality of solutions. In comparison to similar approaches that study this problem on L-infinity this setting introduces more flexibility in terms of the underlying model space. Furthermore, in our setting agents can incorporate different risk measures where some of them reflect their own preferences and others reflect requirements from regulators. (C) 2016 Elsevier B.V. All rights reserved.

Harvard-Zitierstil: Kromer, E. and Overbeck, L. (2016) A note on optimal risk sharing on L^p spaces, Operations Research Letters, 44(2), pp. 202-207. https://doi.org/10.1016/j.orl.2016.01.001

APA-Zitierstil: Kromer, E., & Overbeck, L. (2016). A note on optimal risk sharing on L^p spaces. Operations Research Letters. 44(2), 202-207. https://doi.org/10.1016/j.orl.2016.01.001