SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES
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DOI: 10.1017/asb.2019.24
Abstract: Abstract Using risk-reducing properties of conditional expectations with respect to convex order, Denuit and Dhaene [Denuit, M. and Dhaene, J. (2012). Insurance: Mathematics and Economics 51, 265–270] proposed the conditional mean risk sharing rule to… read more here.
Keywords: risk sharing; risk; insurance; mean risk ... See more keywords
Mini-max-risk and mini-mean-risk inferences for a partially piecewise regression
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DOI: 10.1080/02331888.2016.1274312
Abstract: ABSTRACT We consider a partially piecewise regression in which the main regression coefficients are constant in all subdomains, but the extraessential regression function is variable in different pieces and is difficult to be estimated. Under… read more here.
Keywords: risk; regression; mini; partially piecewise ... See more keywords
On the price of risk in a mean-risk optimization model
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DOI: 10.1080/14697688.2018.1436765
Abstract: We investigate a mean-risk model for portfolio optimization where the risk quantifier is selected as a semi-deviation or as a standard deviation of the portfolio return. We analyse the existence of solutions to the problem… read more here.
Keywords: risk; price risk; bound; model ... See more keywords