Browsing Waterloo Research by Subject "Choquet integral"
Now showing items 1-2 of 2
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Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
(Elsevier, 2019-01)In a problem of Pareto-efficient insurance contracting (bilateral risk sharing) with expected-utility preferences, Gollier (1987) relaxes the nonnegativity constraint on indemnities and argues that the existence of a ... -
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
(Elsevier, 2017-10-01)We introduce and explore Gini-type measures of risk and variability, and develop the corresponding economic capital allocation rules. The new measures are coherent, additive for co-monotonic risks, convenient computationally, ...