Using Aumann-Shapley Values to Allocate Insurance Risk

DOI10.1080/10920277.2007.10597470zbMath1480.91236OpenAlexW1607911175MaRDI QIDQ5019750

Michael R. Powers

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597470

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of game theory (91A80) Actuarial mathematics (91G05)

Related Items (8)

Consistency requirements and pattern methods in cost sharing problems with technological cooperation ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Excess based allocation of risk capital ⋮ Risk allocation through shapley decompositions, with applications to variable annuities ⋮ Egalitarian Equivalent Capital Allocation ⋮ Capital allocation for portfolios with non-linear risk aggregation ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ A capital allocation based on a solvency exchange option

Cites Work

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• Managing Economic and Virtual Economic Capital Within Financial Conglomerates
• Demand Compatible Equitable Cost Sharing Prices
• Cooperative Fuzzy Games
• Values of Non-Atomic Games
• Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure
• Economic Capital Allocation Derived from Risk Measures
• A Note on the Myers and Read Capital Allocation Formula
• Capital Allocation Survey with Commentary

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