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 lexicographical sense. The excess of a set of portfolios is defined as the expected loss...

This paper introduces the family of Weighted Aumann-Shapley values for piecewise linear fuzzy games. The regular Aumann-Shapley value is not well-defined in case some differentiability condition is not satisfied. As an alternative, we introduce a family of allocation rules inspired by the...

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 lexicographical sense. The excess of a set of portfolios is defined as the expected loss...