Stable allocations of risk

DOI10.1016/j.geb.2008.11.001zbMath1168.91410OpenAlexW2138106469MaRDI QIDQ834873

László Á. Kóczy, Péter Csóka, P. Jean-Jacques Herings

Publication date: 27 August 2009

Published in: Games and Economic Behavior (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.geb.2008.11.001

zbMATH Keywords

exact gamescoherent measures of risktotally balanced gamesrisk allocation games

Mathematics Subject Classification ID

Other game-theoretic models (91A40)

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Facets of the cone of exact games ⋮ Risk capital allocation with autonomous subunits: the Lorenz set ⋮ Coalitional Bargaining in Networks ⋮ DEA production games and Owen allocations ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ \( \tau \)-value for risk capital allocation problems ⋮ Preservation of risk in capital markets ⋮ On the Impossibility of Fair Risk Allocation ⋮ Convex and exact games with non-transferable utility ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ Balancedness conditions for exact games ⋮ Capital allocation for portfolios with non-linear risk aggregation ⋮ Properties and comparison of risk capital allocation methods ⋮ The link between the Shapley value and the beta factor ⋮ Facets of the cone of totally balanced games ⋮ Minimal exact balancedness ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ A note on weighted multi-glove games ⋮ Pooling Risk Games

Cites Work

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• Large cores and exactness
• Multi-issue allocation situations
• A necessary and sufficient condition for non-emptiness of the core of a non-transferable utility game
• On the core of a collection of coalitions.
• Cores of convex games
• Cores of exact games. I
• Coherent Measures of Risk
• Totally balanced games arising from controlled programming problems
• Generalized Network Problems Yielding Totally Balanced Games
• Totally Balanced Games and Games of Flow
• On the core of linear production games

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