Risk quantization by magnitude and propensity

Olivier Faugeras and Gilles Pagès
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Olivier Faugeras: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Gilles Pagès: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité

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Keywords: Magnitude-propensity; Risk measure; Mass transportation; Optimal quantization; Risk management; Portfolio analysis (search for similar items in EconPapers)
Date: 2024-05
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Published in Insurance: Mathematics and Economics, 2024, 116, pp.134-147. ⟨10.1016/j.insmatheco.2024.02.005⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04494048

DOI: 10.1016/j.insmatheco.2024.02.005

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