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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
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Uncertainty of the shapley value
Kargin, Vladislav - In: International game theory review 7 (2005) 4, pp. 517-529
Persistent link: https://www.econbiz.de/10003280374
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Uncertainty of the Shapley Value
2018
This paper introduces a measure of uncertainty in the determination of the Shapley value, illustrates it with examples, and studies some of its properties. The introduced measure of uncertainty quantifies random variations in a player's marginal contribution during the bargaining process. The...
Persistent link: https://www.econbiz.de/10012922309
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Explicit flow-risk allocation for cooperative maximum flow problems under interval uncertainty
Baykasoğlu, Adil; Özbel, Burcu Kubur - In: Operational research : an international journal 21 (2021) 3, pp. 2149-2179
Persistent link: https://www.econbiz.de/10012621765
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976
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Uncertainty of the Shapley Value
Kargin, Vladislav - 2004
This paper defines a measure of bargaining uncertainty that quantifies Roth's concept of strategic risk. It shows how …
Persistent link: https://www.econbiz.de/10014087498
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The systemic importance of financial institutions
Tarashev, Nikola A.; Borio, Claudio E. V.; Tsatsaronis, … - In: BIS quarterly review : international banking and … (2009), pp. 75-87
Persistent link: https://www.econbiz.de/10003885009
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Game-theoretic approaches to optimal risk sharing
Boonen, Tim - 2014
Persistent link: https://www.econbiz.de/10010238900
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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
In finance risk capital allocation raises important questions both from theoretical and practical points of view. How … to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to … assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for …
Persistent link: https://www.econbiz.de/10010381388
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Valuing inputs under supply uncertainty : the Bayesian Shapley value
Pongou, Roland; Tondji, Jean-Baptiste - 2016
Persistent link: https://www.econbiz.de/10011555297