Risk capital allocation and cooperative pricing of insurance liabilities.

DOI10.1016/S0167-6687(03)00137-9zbMath1103.91317OpenAlexW3123318396MaRDI QIDQ1423356

Christopher Barnett, Andreas Tsanakas

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00137-9

zbMATH Keywords

EquilibriumprincipleCooperative gamesCoherent risk measuresAumann--Shapley valueDistortion premium

Mathematics Subject Classification ID

Related Items (30)

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Cites Work

• An introduction to copulas. Properties and applications
• Families of update rules for non-additive measures: applications in pricing risks.
• Non-additive measure and integral
• Conditioning (updating) non-additive measures
• Axiomatic characterization of insurance prices
• Conditional expectation for monotone measures, the discrete case
• Theory of capacities
• Coherent Measures of Risk
• Demand Compatible Equitable Cost Sharing Prices
• Cooperative Fuzzy Games
• Values of Non-Atomic Games
• Integral Representation Without Additivity
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Risk-adjusted credibility premiums using distorted probabilities
• The Dual Theory of Choice under Risk
• Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure
• Perspectives of Risk Sharing
• Utility Functions
• Equilibrium in a Reinsurance Market

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