Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

In this paper we propose a new rule to allocate risk capital to portfolios or divisions within a firm. Specifically, we determine the capital allocation that minimizes the excesses of sets of portfolios in a lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

We provide two new characterizations of exact games. First, a game is exact if and only if it is exactly balanced; and second, a game is exact if and only if it is totally balanced and overbalanced. The condition of exact balancedness is identical to the one of balancedness, except that one of the...

We provide two new characterizations of exact games. First, a game is exact if and only if it is exactly balanced; and second, a game is exact if and only if it is totally balanced and overbalanced. The condition of exact balancedness is identical to the one of balancedness, except that one of the...

In an economic or social situation where agents have to group in order to achieve common goals, how can we calculate the coalitional rents of the agents arising from the coalition formation? Once we have formalized the situation via a TU-game and a network describing the economic structure, we...

An extension of the Shapley value for games in partition function form is proposed in the paper. We introduce a version of the marginal contributions for environments with externalities. The dummy property related to it is defined. We adapt the system of axioms provided by Shapley (A value for...

On several classes of n-person NTU games that have at least one Shapley NTU value, Aumann characterized this solution by six axioms: Non-emptiness, efficiency, unanimity, scale covariance, conditional additivity, and independence of irrelevant alternatives (IIA). Each of the first five axioms is...

n agents located along a river generate residues that then require cleaning to return the river to its natural state, which entails some cost. We propose several rules to distribute the total pollutant-cleaning cost among all the agents. We provide axiomatic characterizations using properties...

Complementary to the axiomatic and mechanism design studies on queueing problems, this paper proposes a strategic bargaining approach to resolve queueing conflicts. Given a situation where players with different waiting costs have to form a queue in order to be served, they firstly compete with...