A generalization of the Aumann-Shapley value for risk capital allocation problems (Q2282512): Difference between revisions

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+Coherent Measures of Risk
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+Mathematical methods of game and economic theory
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+Cooperative Fuzzy Games
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+Values of Non-Atomic Games
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+Properties and comparison of risk capital allocation methods
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+Applied cost allocation: the DEA-Aumann-Shapley approach
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+Capital allocation for portfolios with non-linear risk aggregation
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+Capital allocation à la Aumann-Shapley for non-differentiable risk measures
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+ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION
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+Stable allocations of risk
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+Non-additive measure and integral
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+Economic Capital Allocation Derived from Risk Measures
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+Excess based allocation of risk capital
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+Cost sharing: The nondifferentiable case
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+How should the cost of joint risk capital be allocated for performance measurement?
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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+Distortion measures and homogeneous financial derivatives
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+Demand Compatible Equitable Cost Sharing Prices
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+Asymptotic Values of Vector Measure Games
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+Using Aumann-Shapley Values to Allocate Insurance Risk
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+On the Discrete Version of the Aumann-Shapley Cost-Sharing Method
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+Dynamic capital allocation with distortion risk measures
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+Axiomatic characterization of insurance prices
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+The additivity and dummy axioms in the discrete cost sharing model
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+Publication:2282512