GOURIEROUX, C.; MONFORT, A. - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350041-1
The paper proposes an axiomatic approach for allocating aggregate risk among individual entities. It is shown that a risk allocation system should obey two axioms. The allocations satisfying these axioms are called coherent risk contributions and are characterized. In the paper, the contribution...