Optimal insurance design with Lambda-Value-at-Risk
The paper examines optimal insurance solutions using $\Lambda\VaR$. It finds truncated stop-loss indemnity optimal with the expected...
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25 juil.
On the Separability of Vector-Valued Risk Measures
This paper defines vector-valued risk measures using axioms and shows they ignore dependence structures of input random vectors, unlike...
2 avr.
Risk exchange under infinite-mean Pareto models
The study explores optimal decision-making for agents minimizing risks with extremely heavy-tailed, possibly dependent losses. Focused on...
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