Excess Based Allocation of Risk Capital
Year of publication: |
2010
|
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Authors: | De Waegenaere, Anja ; Norde, Henk ; van Gulick, G. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | risk capital | capital allocation | excesses | lexicographic minimum |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 2010-123 |
Classification: | G10 - General Financial Markets. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C71 - Cooperative Games |
Source: |
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Excess based allocation of risk capital
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A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems
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