research article
Optimal Capital and Risk Allocations for Law-and Cash-Invariant Convex Functions
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.
Type
research article
Author(s)
Svindland, Gregor
Date Issued
2008
Publisher
Published in
Volume
12
Start page
423
End page
439
Editorial or Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
April 24, 2010
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