Articles with "weighted comonotonic" as a keyword



Photo by sammiechaffin from unsplash

WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS

Sign Up to like & get
recommendations!
Published in 2020 at "Astin Bulletin"

DOI: 10.1017/asb.2020.6

Abstract: We study a weighted comonotonic risk-sharing problem among multiple agents with distortion risk measures under heterogeneous beliefs. The explicit forms of optimal allocations are obtained, which are Pareto-optimal. A necessary and sufficient condition is given… read more here.

Keywords: risk sharing; risk; comonotonic risk; heterogeneous beliefs ... See more keywords