\( \tau \)-value for risk capital allocation problems (Q2661559): Difference between revisions

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+Coherent Measures of Risk
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+An efficient approach to quantile capital allocation and sensitivity analysis
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+Properties of distortion risk measures
@@ Property / cites work: Properties of distortion risk measures / rank @@
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+A generalization of the Aumann-Shapley value for risk capital allocation problems
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+Capital allocation for portfolios with non-linear risk aggregation
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+Stable allocations of risk
@@ Property / cites work: Stable allocations of risk / rank @@
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+The \(\tau\)-value, the core and semiconvex games
@@ Property / cites work: The \(\tau\)-value, the core and semiconvex games / rank @@
+Normal rank
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+AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
@@ Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank @@
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+Q5706744
@@ Property / cites work: Q5706744 / rank @@
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+Q3921032
@@ Property / cites work: Q3921032 / rank @@
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+An axiomatization of the \(\tau\)-value
@@ Property / cites work: An axiomatization of the \(\tau\)-value / rank @@
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+Q3937173
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+Risk capital allocation and cooperative pricing of insurance liabilities.
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+Excess based allocation of risk capital
@@ Property / cites work: Excess based allocation of risk capital / rank @@
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