Tail variance allocation, Shapley value, and the majorization problem

DOI10.1017/jpr.2023.28OpenAlexW4379519111MaRDI QIDQ6198966

Marcello Galeotti, Giovanni Rabitti

Publication date: 23 February 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2023.28

zbMATH Keywords

cooperative gamescovariance matrixsum of random variablesvector majorizationtail risk sharing

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Cooperative games (91A12) Analysis of variance and covariance (ANOVA) (62J10)

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