Journal article

Publication year: 2016

Pages: 202-207

Journal: Operations Research Letters

Volume number: 44

Issue number: 2

ISSN: 0167-6377

eISSN: 1872-7468

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

Publisher: 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 Citation style: 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 Citation style: 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