Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2006-07-01 DOI:10.1524/STND.2006.24.1.127

G. Carlier, R. Dana

引用次数: 42

Abstract

SUMMARY This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions, optimality conditions, sufficient conditions for the regularity of solutions are established. Applications to risk sharing with convex comonotone law invariant risk measures or with robust utilities are given.

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律不变凹效用函数与单调与共单调约束的优化问题

本文考虑了一类具有单调性和共单调性约束的一维变分问题，这些问题出现在经济和金融模型中，其中使用了不变凹准则(或风险的不变凸度量)。建立了解的存在性解、最优性条件和正则性的充分条件。给出了凸共单调律不变风险测度或鲁棒效用在风险分担中的应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.