Capital Allocations for classical and set-valued risk measures


Tsanakas (2009) defined and studied a Capital Allocation Rule (C.A.R.) for Gâteaux-differentiable risk measures inspired to the game theoretic concept of Aumann and Shapley value. His analysis leaves anyway open the case of... [ view full abstract ]


  1. Francesca Centrone (University of Piemonte-Orientale)
  2. Emanuela Rosazza Gianin (University of Milano-Bicocca)

Topic Areas

Game Theory , Insurance , Risk Measures


TH-A-B1 » Risk Measures (11:30 - Thursday, 19th July, Beckett 1)

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