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20202026
most citedPareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures

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math.PR2022

Bounds on Choquet Risk Measures in Finite Product Spaces with Ambiguous Marginals

Mario Ghossoub, David Saunders, Kelvin Shuangjian Zhang

We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk fac…