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Persistent link: https://www.econbiz.de/10012294820
This paper considers the problem of risk sharing, where a coalition of homogeneous agents, each bearing a random cost, aggregates their costs and shares the value-at-risk of such a risky position. Due to limited distributional information in practice, the joint distribution of agents' random...
Persistent link: https://www.econbiz.de/10014352342