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Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions

By Gregor Svindland and Damir Filipovic

Abstract

In this paper we provide the complete solution to the existence and characterization problem of optimal capital and risk allocations for not necessarily monotone, law-invariant convex risk measures on the model space Lp, for any p ε [1;∞]. Our main result says that the capital and risk allocation problem always admits a solution via contracts whose payoffs are defined as increasing Lipschitz continuous functions of the aggregate risk

Publisher: 'Springer Science and Business Media LLC'
Year: 2010
DOI identifier: 10.1007/s00780-008-0069-5
OAI identifier: oai:infoscience.tind.io:148485

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