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Quantile-based risk sharing with heterogeneous beliefs

Embrechts, P; Liu, HY; Mao, TN; Wang, RD

Mao, TN (corresponding author), Univ Sci & Technol China, Sch Management, Dept Stat & Finance, Hefei, Peoples R China.

MATHEMATICAL PROGRAMMING, 2020; 181 (2): 319

Abstract

We study risk sharing problems with quantile-based risk measures and heterogeneous beliefs, motivated by the use of internal models in finance and ins......

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