Pooling risk games

DOI10.1142/S0219198919500154MaRDI QIDQ5012897zbMATH OpenOpenAlexWikidataFDO

Authors Tzvi Alon, Moshe Haviv

Publication date 26 November 2021

Published in International Game Theory Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219198919500154

zbMATH Keywords

risk measurecooperative game theorypooling risk

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Recommendations

• Optimal risk sharing as a cooperative game
• Cooperative games with general deviation measures
• Variance allocation and Shapley value
• Probabilistic resource pooling games
• Pooling, pricing and trading of risks

Cites work

• scientific article; zbMATH DE number 4170683 (Why is no real title available?)
• scientific article; zbMATH DE number 3059231 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Cooperation between multiple news-vendors with transshipments
• Cooperation in service systems
• Cooperative games with general deviation measures
• Cost allocation in continuous-review inventory models
• Dynamic capital allocation with distortion risk measures
• Game theory. Translated from the Hebrew by Ziv Hellman and edited by Mike Borns
• Introduction to the Theory of Cooperative Games
• Large newsvendor games
• Multivariate skew-normal distributions with applications in insurance
• Nash bargaining over allocations in inventory pooling contracts
• Note—Effects of Centralization on Expected Costs in a Multi-Location Newsboy Problem
• On the impossibility of fair risk allocation
• Probabilistic analysis and practical algorithms for the flow shop weighted completion time problem
• Properties and comparison of risk capital allocation methods
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Stable allocations of risk
• Tail Conditional Expectations for Elliptical Distributions
• Tail conditional expectation for multivariate distributions: a game theory approach
• The newsvendor game has a nonempty core
• To split or not to split: Capital allocation with convex risk measures
• Variance allocation and Shapley value
• Wang's capital allocation formula for elliptically contoured distributions.

Cited in

(3)

• Pooling strategies for St. Petersburg gamblers
• Cooperative games with general deviation measures
• Sharing the value‐at‐risk under distributional ambiguity

This page was built for publication: Pooling risk games

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5012897)