Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142217 | Operations Research Letters | 2016 | 6 Pages |
Abstract
We study Pareto optimality and optimal risk sharing in terms of convex risk measures on LpLp-spaces and provide a characterization result for Pareto optimality of solutions. In comparison to similar approaches that study this problem on L∞L∞ this setting introduces more flexibility in terms of the underlying model space. Furthermore, in our setting agents can incorporate different risk measures where some of them reflect their own preferences and others reflect requirements from regulators.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Eduard Kromer, Ludger Overbeck,