A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems-Reference-Cited by-同舟云学术

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A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

Published:2012 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Boonen Tim,De Waegenaere Anja M.B.,Norde Henk W.

Publisher

Elsevier BV

Reference17 articles.

1. Coherent measures of risk;P Artzner;Mathematical Finance,1999

2. Cooperative fuzzy games;J Aubin;Mathematics of Operations Research,1981

3. Allocation of shared costs: A set of axioms yielding a unique procedure;L J Billera;Mathematics of Operations Research,1982

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Static and Dynamic Risk Capital Allocations With the Euler Rule;SSRN Electronic Journal;2018

2. Properties and comparison of risk capital allocation methods;European Journal of Operational Research;2017-06

3. Capital allocation for portfolios with non-linear risk aggregation;Insurance: Mathematics and Economics;2017-01

4. Capital Allocation La Aumann-Shapley for Non Differentiable Risk Measures.;SSRN Electronic Journal;2017

5. Risk capital allocation with autonomous subunits: The Lorenz set;Insurance: Mathematics and Economics;2016-03

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