The center of a convex set and capital allocation

DOI10.1016/j.ejor.2014.12.004zbMath1346.91206OpenAlexW2037596240MaRDI QIDQ319165

Bogdan Grechuk

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/32091

zbMATH Keywords

coherent risk measuresrisk sharingcapital allocationrisk contribution

Mathematics Subject Classification ID

Related Items (8)

Capital allocation with multivariate convex risk measures ⋮ Synergy effect of cooperative investment ⋮ Properties and comparison of risk capital allocation methods ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Peer-to-peer multi-risk insurance and mutual aid ⋮ Extended gradient of convex function and capital allocation ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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