Risk capital allocation with autonomous subunits: the Lorenz set

DOI10.1016/J.INSMATHECO.2015.12.002zbMATH Open1348.91148OpenAlexW2260586530MaRDI QIDQ282289FDOQ282289

Aleksandrs Smilgins, Jens Leth Hougaard

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

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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)

Cites Work

• Coherent measures of risk
• The Nucleolus of a Characteristic Function Game
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• Monotonic solutions of cooperative games
• On the Impossibility of Fair Risk Allocation
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• The egalitarian solution and reduced game properties in convex games
• On the set of Lorenz-maximal imputations in the core of a balanced game
• Some characterizations of egalitarian solutions on classes of TU-games.
• Risk capital allocation and cooperative pricing of insurance liabilities.
• How should the cost of joint risk capital be allocated for performance measurement?
• Excess based allocation of risk capital
• Incentives, decentralized control, the assignment of joint costs and internal pricing
• Risk capital allocation with autonomous subunits: the Lorenz set
• An Introduction to Allocation Rules
• Mathematical methods of game and economic theory
• Title not available (Why is that?)
• Stable allocations of risk
• An axiomatic approach to egalitarianism in TU-games

Cited In (5)

• 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?
• Capital allocation for portfolios with non-linear risk aggregation

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