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Conjugate Duality and Optimization

R. Rockafellar (1974)

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Equilibrium in a Reinsurance Market

Karl Borch (1962)

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Inf-convolution of risk measures and optimal risk transfer

Pauline Barrieu, Nicole El Karoui (2005)

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Publication date (Print): 2013

Publication date (Online): August 30 2012

Pages: 265-303

DOI: 10.1007/978-3-642-33590-7_11

SO-VID: 32e713f8-6740-47ff-9dda-ebbabaaf8c17

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Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals

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IUCN Red List of Ecosystems

Most cited references 21

Conjugate Duality and Optimization

Equilibrium in a Reinsurance Market

Inf-convolution of risk measures and optimal risk transfer

Author and book information

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