A generalization of the Aumann-Shapley value for risk capital allocation problems

DOI10.1016/j.ejor.2019.09.022zbMath1431.91425OpenAlexW3123610891MaRDI QIDQ2282512

Tim J. Boonen, Henk Norde, Anja De Waegenaere

Publication date: 8 January 2020

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11245.1/b913faec-2a80-49ca-a988-90f012b1a00d

zbMATH Keywords

Aumann-Shapley valuerisk measurerisk managementnon-differentiabilitycapital allocation

Mathematics Subject Classification ID

Cooperative games (91A12) Corporate finance (dividends, real options, etc.) (91G50)

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