Search Results - subject:"Optimal risk allocation"

Monetary utility functions and risk functionals

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Essays on Financial Analytics : Applications and Methods, (pp. 27-35). 2023

Persistent link: https://www.econbiz.de/10014338785

Optimal procurement choices for development of public infrastructure - identification of key metrics

Pruthi, Harpreet Singh; Singh, Vikramjit - In: International journal of procurement management 16 (2023) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10014247178

Optimal risk allocation for convex risk functionals in general risk domains

Kiesel, Swen; Rüschendorf, Ludger - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 335-365

Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined …

Persistent link: https://www.econbiz.de/10014621216

On the optimal risk allocation problem

Burgert, Christian; Rüschendorf, Ludger - In: Statistics & Risk Modeling 24 (2006) 1, pp. 153-171

SUMMARY The optimal risk allocation problem or equivalently the problem of risk sharing is the problem to allocate a … risk allocation problem for convex risk measures ϱ i . In general the optimal risk allocation problem is well defined only … formulate ameaningful modification of the optimal risk allocation problem also formarkets without assuming the equilibrium …

Persistent link: https://www.econbiz.de/10014621316

A risk allocation approach to optimal exchange rate policy

Mundaca, B. Gabriela; Strand, Jon - 2004

We derive the optimal exchange rate policy for a small open economy subject to terms-oftrade shocks. Firm owners and workers are risk averse but workers more so. Wages are given or partially indexed in the short run, and capital markets are imperfect. The government sets the exchange rate to...

Persistent link: https://www.econbiz.de/10010261106

A Risk Allocation Approach to Optimal Exchange Rate Policy

Mundaca, B. Gabriela; Strand, Jon - CESifo - 2004

We derive the optimal exchange rate policy for a small open economy subject to terms-of-trade shocks. Firm owners and workers are risk averse but workers more so. Wages are given or partially indexed in the short run, and capital markets are imperfect. The government sets the exchange rate to...

Persistent link: https://www.econbiz.de/10005405793

On convex risk measures on L <Superscript> p </Superscript>-spaces

Kaina, M.; Rüschendorf, L. - In: Mathematical Methods of Operations Research 69 (2009) 3, pp. 475-495

</Superscript> we discuss the expected shortfall and the shortfall risk. In the final part of the paper we consider the optimal risk … allocation problem for L <Superscript> p </Superscript> risks. Copyright Springer-Verlag 2009 …

Persistent link: https://www.econbiz.de/10010999814

On convex risk measures on L p -spaces

Kaina, M.; Rüschendorf, L. - In: Computational Statistics 69 (2009) 3, pp. 475-495

paper we consider the optimal risk allocation problem for L p risks. Copyright Springer-Verlag 2009 …

Persistent link: https://www.econbiz.de/10010759408