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Two-dimensional risk-neutral valuation relationships for the pricing of options
Franke, Günter; Huang, James; Stapleton, Richard C. - In: Review of derivatives research 9 (2006) 3, pp. 213-237
Persistent link: https://www.econbiz.de/10003608139
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Properties of risk capital allocation methods : core compatibility, equal treatment property and strong monotonicity
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014
axiomatization of the Shapley value that the requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity are …
Persistent link: https://www.econbiz.de/10010381388
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Risk capital allocation with autonomous subunits : the Lorenz set
Hougaard, Jens Leth; Smilgins, Aleksandrs - In: Insurance / Mathematics & economics 67 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011457222
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Sharing the risk of settlement failure : synopsis
Fujiki, Hiroshi; Green, Edward J.; Yamazaki, Akira - 1999
Persistent link: https://www.econbiz.de/10001352456
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Informational size and incentive compatibility with aggregate uncertainty
MacLean, Richard P.; Postlewaite, Andrew - In: Games and economic behavior 45 (2003) 2, pp. 410-433
Persistent link: https://www.econbiz.de/10001826942
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Nonparametric estimation of competing risks models with covariates
Fermanian, Jean-David - 2001
Persistent link: https://www.econbiz.de/10001577411
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Nonparametric estimation of copulas for time series
Fermanian, Jean-David; Scaillet, Olivier - 2002
Persistent link: https://www.econbiz.de/10001732499
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Information, Uncertainty and the Core
Routledge, R. - 2016
How are contracts formed when agents face uncertainty, have asymmetric information and cannot write binding agreements? In this paper we propose a solution to this problem. Agents can discuss state-contingent allocations but cannot write binding contracts. At any stage in the contract formation...
Persistent link: https://www.econbiz.de/10013008261
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Cooperation with Externalities and Uncertainty
Habis, Helga; Csercsik, Dávid - 2012
, hence agreements must be stable against both types of deviations. The appropriate extension of the classicakl core concept …, the Sustainable Core, is defined for this new setup to test the stability of allocations in such a complex environment. A … achieved by choosing an element in the Sustainable Core. …
Persistent link: https://www.econbiz.de/10010494526
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On the impossibility of fair risk allocation
Csóka, Péter; Pintér, Miklós - In: The B.E. journal of theoretical economics 16 (2016) 1, pp. 143-158
Persistent link: https://www.econbiz.de/10011431331