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- W4313431147 abstract "A mixed Value-at-Risk (VaR) is a two-parameter quantile-based risk measure, which is a convex combination of left-VaR and right-VaR. In this paper, we investigate optimal allocations in a risk sharing problem where the objectives of agents are mixed-VaRs. Explicit formulas of the inf-convolution and Pareto optimal allocations are obtained. The worst-case mixed VaR under model uncertainty is also presented." @default.
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- W4313431147 date "2023-01-01" @default.
- W4313431147 modified "2023-09-27" @default.
- W4313431147 title "Inf-convolution and optimal allocations for mixed-VaRs" @default.
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- W4313431147 doi "https://doi.org/10.1016/j.insmatheco.2022.12.001" @default.
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