Pooling risk games

DOI10.1142/S0219198919500154MaRDI QIDQ5012897zbMATH OpenOpenAlexWikidataFDO

Authors Tzvi Alon, Moshe Haviv

Publication date 26 November 2021

Published in International Game Theory Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219198919500154

zbMATH Keywords

cooperative game theorypooling riskrisk measure

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Recommendations

• Optimal risk sharing as a cooperative game
• Cooperative games with general deviation measures
• Variance allocation and Shapley value
• Probabilistic resource pooling games
• Pooling, pricing and trading of risks

Cites work

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• Stable allocations of risk
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• Tail Conditional Expectations for Elliptical Distributions
• The newsvendor game has a nonempty core
• To split or not to split: Capital allocation with convex risk measures
• Variance allocation and Shapley value
• Wang's capital allocation formula for elliptically contoured distributions.

Cited in

(3)

• Pooling strategies for St. Petersburg gamblers
• Cooperative games with general deviation measures
• Sharing the value‐at‐risk under distributional ambiguity

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