Capital allocation à la Aumann-Shapley for non-differentiable risk measures
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- scientific article; zbMATH DE number 1807400 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 2046106 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Cash subadditive risk measures and interest rate ambiguity
- Coherent measures of risk
- Coherent risk measures, coherent capital allocations and the gradient allocation principle
- Conditional certainty equivalent
- Convex measures of risk and trading constraints
- Cooperative Fuzzy Games
- Dual characterization of properties of risk measures on Orlicz hearts
- Dual representation of quasi-convex conditional maps
- On Quasi-Convex Duality
- On convex principles of premium calculation
- Optimization of Convex Risk Functions
- Portfolio optimization with quasiconvex risk measures
- Pricing, hedging, and designing derivatives with risk measures
- Put-call parity and market frictions
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Risk preferences and their robust representation
- Stochastic finance. An introduction in discrete time
- Systemic risk measures on general measurable spaces
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- To split or not to split: Capital allocation with convex risk measures
- Values of Non-Atomic Games
Cited in
(25)- Haezendonck-Goovaerts capital allocation rules
- Applications of axiomatic capital allocation and generalized weighted allocation
- Capital allocation with multivariate risk measures: an axiomatic approach
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Risk contributions of lambda quantiles
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Capital allocation rules and acceptance sets
- Dynamic capital allocation rules via BSDEs: an axiomatic approach
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Properties and comparison of risk capital allocation methods
- A generalization of the Aumann-Shapley value for risk capital allocation problems
- Risk parity with expectiles
- Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses
- Risk allocation through shapley decompositions, with applications to variable annuities
- Capital allocation for set-valued risk measures
- Capital allocation with multivariate convex risk measures
- An impossibility theorem on capital allocation
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Extended gradient of convex function and capital allocation
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- To split or not to split: Capital allocation with convex risk measures
- \( \tau \)-value for risk capital allocation problems
- Capital allocation for portfolios with non-linear risk aggregation
- Differentiability of BSVIEs and dynamic capital allocations
- Risk capital allocation and cooperative pricing of insurance liabilities.
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