To split or not to split: Capital allocation with convex risk measures

DOI10.1016/j.insmatheco.2008.03.007zbMath1165.91423OpenAlexW3123372851MaRDI QIDQ1017768

Andreas Tsanakas

Publication date: 12 May 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5991/1/Tsanakas2009.pdf

zbMATH Keywords

Aumann-Shapley valueinf-convolutioncapital allocationconvex measures of risk

Mathematics Subject Classification ID

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