Capital allocation à la Aumann-Shapley for non-differentiable risk measures (Q723951)
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scientific article; zbMATH DE number 6910038
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| English | Capital allocation à la Aumann-Shapley for non-differentiable risk measures |
scientific article; zbMATH DE number 6910038 |
Statements
Capital allocation à la Aumann-Shapley for non-differentiable risk measures (English)
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25 July 2018
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risk management
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capital allocation rules
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convex/quasi-convex risk measures
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Aumann-Shapley value
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Gateaux differential
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0.8649659752845764
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0.8474825024604797
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0.8436057567596436
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0.8408967852592468
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0.8253933787345886
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