Seminar 217, Risk Management: Optimal risk sharing with multiple risk criteria
Other Related Seminars
Feb 24, 2015, 10:00 AM - 11:30 AM | 597 Evans Hall | Happening As Scheduled
Eduard Kromer, University of California, Berkeley (Speaker - Featured)
Abstract: The problem of optimal risk sharing between two or more agents has applications in different areas of finance, particularly the areas of actuarial science and portfolio theory are of great importance. The problem formulation is the following: Consider m agents, each with an initial random endowment. These initial endowments add up to an aggregate risky position. Now the optimal risk...