A generalization of the Aumann–Shapley value for risk capital allocation problems-Reference-Cited by-同舟云学术

A generalization of the Aumann–Shapley value for risk capital allocation problems

Published:2020-04 Issue:1 Volume:282 Page:277-287
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Boonen Tim J.^ORCID,De Waegenaere Anja,Norde Henk

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference39 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking and Finance,2002

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. Mathematical methods of game and economic theory;Aubin,1979

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

5. Values of non-atomatic games;Aumann,1974

Cited by 18 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. Collaborative scheduling and benefit allocation for waste-to-energy, hydrogen storage, and power-to-gas under uncertainties with temporal relevance;Energy;2024-10

2. A Mutual Catastrophe Insurance Framework for Horizontal Collaboration in Prepositioning Strategic Reserves;Operations Research;2024-03-18

3. Capital requirement modeling for market and non-life premium risk in a dynamic insurance portfolio;Annals of Actuarial Science;2023-10-31

4. Applying the Shapley value to the tuna fishery;European Journal of Operational Research;2023-08

5. Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation;European Journal of Operational Research;2023-04