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  • Photo du rédacteurHélène Dufour

Risk sharing, measuring variability, and distortion riskmetrics

"We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion riskmetrics, which include many statistical measures of risk and variability used in portfolio optimization and insurance."


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