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719 results on '"Young, V R"'

1. Optimal Risk Sharing under Distorted Probabilities

Author

Ludkovski, M. and Young, V. R.

Subjects
Mathematics - Optimization and Control
Abstract

We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under third-party constraints is also considered. We obtain an explicit formula for Pareto optimal allocations. In particular, we find that a stop-loss or deductible risk sharing is optimal in the case of two agents and several common distortion functions. This extends recent result of Jouini et al. (2006) to the problem with unbounded risks and market frictions., Comment: 22 pages and 3 figures

Published
2008
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7. 3-Methylhistidine as an Index of Rate of Muscle Protein Breakdown

Author

Munro, H. N., Young, V. R., Ahnefeld, F. W., editor, Bergmann, H., editor, Burri, C., editor, Dick, W., editor, Halmágyi, M., editor, Rügheimer, E., editor, Kilian, J., editor, Ahnefeld, Friedrich Wilhelm, editor, Bergmann, Hans, editor, Burri, Caius, editor, Dick, Wolfgang, editor, Halmágyi, Miklos, editor, Heller, L., editor, and Rügheimer, Erich, editor

Published
1977
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