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Quantile-Based Risk Sharing

  • Published:2018-08 Issue:4 Volume:66 Page:936-949
  • ISSN:0030-364X
  • Container-title:Operations Research
  • language:en
  • Short-container-title:Operations Research

Author:

Embrechts Paul1,Liu Haiyan2,Wang Ruodu3ORCID

Affiliation:

1. RiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland; and Swiss Finance Institute, 8006 Zurich, Switzerland

2. Department of Mathematics and Department of Statistics and Probability, Michigan State University, East Lansing, Michigan 48824

3. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario N2L 3G1, Canada

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications

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