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- W2236407910 abstract "We study Pareto optimality and optimal risk sharing in terms of convex risk measures on L p -spaces and provide a characterization result for Pareto optimality of solutions. In comparison to similar approaches that study this problem on 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." @default.
- W2236407910 created "2016-06-24" @default.
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- W2236407910 date "2016-03-01" @default.
- W2236407910 modified "2023-09-24" @default.
- W2236407910 title "A note on optimal risk sharing onLpspaces" @default.
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- W2236407910 doi "https://doi.org/10.1016/j.orl.2016.01.001" @default.
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