Search Results - subject:"Aumann-Shapley value"

A generalization of the Aumann-Shapley value for risk capital allocation problems

Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287

Persistent link: https://www.econbiz.de/10012157603

Capital allocation à la Aumann-Shapley for non-differentiable risk measures

Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675

Persistent link: https://www.econbiz.de/10011812548

A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

De Waegenaere, Anja; Norde, Henk; Boonen, T.J. - Tilburg University, Center for Economic Research - 2012

academic literature advocates an allocation rule that, in game-theoretic terms, is equivalent to using the Aumann-Shapley value … coherent risk measures. We show that if the Aumann-Shapley value is well-defined, the allocation rule coincides with it. If the … Aumann-Shapley value is not defined, which is due to non-differentiability problems, the allocation rule specifies an …

Persistent link: https://www.econbiz.de/10011092920

A generalization of the Aumann-Shapley value for risk allocation problems

Boonen, Tim; De Waegenaere, Anja; Norde, Henk - 2012

Persistent link: https://www.econbiz.de/10009676136

Capital allocation for portfolios with non-linear risk aggregation

Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106

Persistent link: https://www.econbiz.de/10011694391

Insurance Risk, Risk Measures, and Capital Allocation: Navigating a Copernican Shift

Powers, Michael R.; Zanjani, George - In: Annual Review of Financial Economics 5 (2013) 1, pp. 201-223

We pursue two interrelated lines of thought. The first is a conceptual arc from (a) consideration of the unique characteristics of insurance risk, to (b) the quantification of this risk through risk measures, to (c) the application of these concepts to problems of allocating capital within an...

Persistent link: https://www.econbiz.de/10010709605

Comparison between Financial Theory and Cooperative Game Theory in Risk Capital Allocation

Seog, S. Hun; Shin, Sungwhee - In: Asia-Pacific Journal of Risk and Insurance 4 (2009) 1

Shapley value and the Aumann-Shapley value. We argue that, when an entire division is added or when the effect of a decision …

Persistent link: https://www.econbiz.de/10014585469

A value for mixed action-set games

Calvo, Emilio; Santos, J. Carlos - In: International Journal of Game Theory 30 (2001) 1, pp. 61-78

We extend the Aumann-Shapley value to mixed action-set games, i.e., multilevel TU games where there are simultaneously …

Persistent link: https://www.econbiz.de/10005598442

Weighted values for non-atomic games: an axiomatic approach

Santos, J. C.; Zarzuelo, J. M. - In: Computational Statistics 50 (1999) 1, pp. 53-63

Weighted values of non-atomic games were introduced by Hart and Monderer. These values have been studied by using three approaches: the potential, the asymptotic and the random order approach. In this study we analyze the axiomatic approach for one class of weight functions: the set of players...

Persistent link: https://www.econbiz.de/10010759381

Weighted values for non-atomic games: an axiomatic approach

Santos, J. C.; Zarzuelo, J. M. - In: Mathematical Methods of Operations Research 50 (1999) 1, pp. 53-63

Persistent link: https://www.econbiz.de/10010950172