Using Aumann-Shapley Values to Allocate Insurance Risk
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Publication:5019750
DOI10.1080/10920277.2007.10597470zbMath1480.91236MaRDI QIDQ5019750
Publication date: 10 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2007.10597470
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Egalitarian Equivalent Capital Allocation, Holistic principle for risk aggregation and capital allocation, Risk allocation through shapley decompositions, with applications to variable annuities, Capital allocation for portfolios with non-linear risk aggregation, A capital allocation based on a solvency exchange option, Consistency requirements and pattern methods in cost sharing problems with technological cooperation, A generalization of the Aumann-Shapley value for risk capital allocation problems, Excess based allocation of risk capital
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