Displaying similar documents to “Trivial cases for the Kantorovitch problem”

On optimal matching measures for matching problems related to the Euclidean distance

José Manuel Mazón, Julio Daniel Rossi, Julián Toledo (2014)

Mathematica Bohemica

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We deal with an optimal matching problem, that is, we want to transport two measures to a given place (the target set) where they will match, minimizing the total transport cost that in our case is given by the sum of two different multiples of the Euclidean distance that each measure is transported. We show that such a problem has a solution with an optimal matching measure supported in the target set. This result can be proved by an approximation procedure using a p -Laplacian system....

On the optimal reinsurance problem

Swen Kiesel, Ludger Rüschendorf (2013)

Applicationes Mathematicae

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In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less...