\( \tau \)-value for risk capital allocation problems
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Publication:2661559
DOI10.1016/j.orl.2020.09.003MaRDI QIDQ2661559
Publication date: 7 April 2021
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2020.09.003
90-XX: Operations research, mathematical programming
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- Capital allocation for portfolios with non-linear risk aggregation
- Stable allocations of risk
- Properties of distortion risk measures
- The \(\tau\)-value, the core and semiconvex games
- An axiomatization of the \(\tau\)-value
- Risk capital allocation and cooperative pricing of insurance liabilities.
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- Excess based allocation of risk capital
- Coherent Measures of Risk
- An efficient approach to quantile capital allocation and sensitivity analysis
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION