On the impossibility of fair risk allocation
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Publication:4588482
DOI10.1515/BEJTE-2014-0051zbMATH Open1375.91017OpenAlexW2112761158MaRDI QIDQ4588482FDOQ4588482
Authors: Péter Csóka, Miklós Pintér 
Publication date: 26 October 2017
Published in: The B.E. Journal of Theoretical Economics (Search for Journal in Brave)
Full work available at URL: http://real.mtak.hu/34560/1/OnTheImpossibility_CsokaPinter2014BEJTEFinal_1_u.pdf
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Cites Work
- Coherent measures of risk
- Empirical properties of asset returns: stylized facts and statistical issues
- The Nucleolus of a Characteristic Function Game
- Monotonic solutions of cooperative games
- Title not available (Why is that?)
- Introduction to the Theory of Cooperative Games
- How should the cost of joint risk capital be allocated for performance measurement?
- Cores of exact games. I
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Stable allocations of risk
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Contributions to the theory of games. Vol. II
- Liquidity risk theory and coherent measures of risk
- Regression games
- Core and monotonic allocation methods.
- Wang's capital allocation formula for elliptically contoured distributions.
- Properties and comparison of risk capital allocation methods
- A capital allocation based on a solvency exchange option
- A note on the exact games
Cited In (17)
- Young's axiomatization of the Shapley value: a new proof
- Resolving an insurance allocation problem: a procedural approach
- The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
- Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses
- Risk capital allocation with autonomous subunits: the Lorenz set
- Pooling risk games
- Stable allocations of risk
- On fairness of systemic risk measures
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Properties and comparison of risk capital allocation methods
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- How should the cost of joint risk capital be allocated for performance measurement?
- Title not available (Why is that?)
- An impossibility theorem on capital allocation
- Risk redistribution games with dual utilities
- Preservation of risk in capital markets
- The link between the Shapley value and the beta factor
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