\( \tau \)-value for risk capital allocation problems

DOI10.1016/j.orl.2020.09.003OpenAlexW3086189845MaRDI QIDQ2661559

Tim J. Boonen

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.09.003

zbMATH Keywords

cooperative game theoryrisk capital allocation\( \tau \)-value

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Extended gradient of convex function and capital allocation

Uses Software

• QRM

Cites Work

• Capital allocation for portfolios with non-linear risk aggregation
• Stable allocations of risk
• Properties of distortion risk measures
• The \(\tau\)-value, the core and semiconvex games
• An axiomatization of the \(\tau\)-value
• Risk capital allocation and cooperative pricing of insurance liabilities.
• A generalization of the Aumann-Shapley value for risk capital allocation problems
• Excess based allocation of risk capital
• Coherent Measures of Risk
• An efficient approach to quantile capital allocation and sensitivity analysis
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
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