On the impossibility of fair risk allocation
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Publication:4588482
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Cites work
- scientific article; zbMATH DE number 3139280 (Why is no real title available?)
- A capital allocation based on a solvency exchange option
- A note on the exact games
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Coherent measures of risk
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Contributions to the theory of games. Vol. II
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- Cores of exact games. I
- Empirical properties of asset returns: stylized facts and statistical issues
- How should the cost of joint risk capital be allocated for performance measurement?
- Introduction to the Theory of Cooperative Games
- Liquidity risk theory and coherent measures of risk
- Monotonic solutions of cooperative games
- Properties and comparison of risk capital allocation methods
- Regression games
- Stable allocations of risk
- The Nucleolus of a Characteristic Function Game
- Wang's capital allocation formula for elliptically contoured distributions.
Cited in
(17)- Resolving an insurance allocation problem: a procedural approach
- scientific article; zbMATH DE number 6866333 (Why is no real title available?)
- Stable allocations of risk
- Risk redistribution games with dual utilities
- Risk capital allocation with autonomous subunits: the Lorenz set
- Properties and comparison of risk capital allocation methods
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses
- How should the cost of joint risk capital be allocated for performance measurement?
- An impossibility theorem on capital allocation
- On fairness of systemic risk measures
- Young's axiomatization of the Shapley value: a new proof
- Preservation of risk in capital markets
- The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
- The link between the Shapley value and the beta factor
- Pooling risk games
- Risk capital allocation and cooperative pricing of insurance liabilities.
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