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Search: subject:"inf-convolution"
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Risiko
5
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5
Inf-convolution
4
Risikomanagement
4
Risk management
4
Risk sharing
4
Decision under risk
3
Entscheidung unter Risiko
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3
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Erwartungsnutzen
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Nutzen
2
Portfolio selection
2
Portfolio-Management
2
Risk measures
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Utility
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inf-convolution
2
Allocation
1
Allokation
1
Average-inf-convolution
1
Contract theory
1
Convex risk measure
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Cumulative prospect theory
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Deep neural networks
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Erwartungsbildung
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Expectation formation
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Fenchel-Legendre transform
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Law-invariance
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Mathematical programming
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Mathematische Optimierung
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Neuronale Netze
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Pareto efficiency
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Pareto-Optimum
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Liu, Peng
2
Barrieu, Pauline
1
Burzoni, M.
1
Doldi, A.
1
Hu, Jiuyun
1
KAROUI, Nicole EL
1
Karoui, Nicole El
1
Liu, Haiyan
1
Mao, Tiantian
1
Mastrogiacomo, Elisa
1
Monzio Compagnoni, E.
1
RAVANELLI, Claudia
1
Rosazza Gianin, Emanuela
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Wang, Ruodu
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Wei, Linxiao
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Insurance / Mathematics & economics
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Finance and Stochastics
1
Mathematics and financial economics
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Mathematics of operations research
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Swiss Finance Institute Research Paper Series
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ECONIS (ZBW)
5
RePEc
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1
Risk sharing with lambda value at risk
Liu, Peng
- In:
Mathematics of operations research
50
(
2025
)
1
,
pp. 313-333
Persistent link: https://www.econbiz.de/10015211691
Saved in:
2
Risk sharing with deep neural networks
Burzoni, M.
;
Doldi, A.
;
Monzio Compagnoni, E.
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 233-252
Persistent link: https://www.econbiz.de/10014551970
Saved in:
3
Is the
inf-convolution
of law-invariant preferences law-invariant?
Liu, Peng
;
Wang, Ruodu
;
Wei, Linxiao
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 144-154
Persistent link: https://www.econbiz.de/10012241998
Saved in:
4
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mastrogiacomo, Elisa
;
Rosazza Gianin, Emanuela
- In:
Mathematics and financial economics
9
(
2015
)
2
,
pp. 149-167
Persistent link: https://www.econbiz.de/10011349444
Saved in:
5
Cash Sub-additive Risk Measures and Interest Rate Ambiguity
KAROUI, Nicole EL
;
RAVANELLI, Claudia
-
2008
measures defined on some extended spaces. The issue of the optimal risk transfer is studied in the new framework using
inf-convolution
…
Persistent link: https://www.econbiz.de/10005534188
Saved in:
6
The average risk sharing problem under risk measure and expected utility theory
Mao, Tiantian
;
Hu, Jiuyun
;
Liu, Haiyan
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 170-179
Persistent link: https://www.econbiz.de/10011944126
Saved in:
7
Inf-convolution
of risk measures and optimal risk transfer
Barrieu, Pauline
;
Karoui, Nicole El
- In:
Finance and Stochastics
9
(
2005
)
2
,
pp. 269-298
is reduced to a unique
inf-convolution
problem involving a transformation of the initial risk measures. Copyright …
Persistent link: https://www.econbiz.de/10005759652
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