Risk capital allocation with autonomous subunits: the Lorenz set

DOI10.1016/J.INSMATHECO.2015.12.002MaRDI QIDQ282289zbMATH OpenOpenAlexFDO

Authors Jens Leth Hougaard, Aleksandrs Smilgins

Publication date 12 May 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.12.002

zbMATH Keywords

cost allocationcoherent risk allocationEgalitarian allocationLorenz undominated elements of the corerisk capital

Mathematics Subject Classification ID

Cooperative games (91A12) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Recommendations

• Properties and comparison of risk capital allocation methods
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Cites work

• scientific article; zbMATH DE number 3733695 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
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• Incentives, decentralized control, the assignment of joint costs and internal pricing
• Mathematical methods of game and economic theory
• Monotonic solutions of cooperative games
• On the impossibility of fair risk allocation
• On the set of Lorenz-maximal imputations in the core of a balanced game
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Risk capital allocation with autonomous subunits: the Lorenz set
• Some characterizations of egalitarian solutions on classes of TU-games.
• Stable allocations of risk
• The Nucleolus of a Characteristic Function Game
• The egalitarian solution and reduced game properties in convex games
• Values of Non-Atomic Games

Cited in

(6)

• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Risk capital allocation with autonomous subunits: the Lorenz set
• Properties and comparison of risk capital allocation methods
• How should the cost of joint risk capital be allocated for performance measurement?
• Group cohesion under individual regulatory constraints
• Capital allocation for portfolios with non-linear risk aggregation

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