Risk capital allocation and cooperative pricing of insurance liabilities
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References listed on IDEAS
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- Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems," Discussion Paper 2012-091, Tilburg University, Center for Economic Research.
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- Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, Open Access Journal, vol. 1(1), pages 1-20, March.
- Tsanakas, Andreas, 2008. "Risk measurement in the presence of background risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 520-528, April.
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- Seog S. Hun & Shin Sungwhee, 2009. "Comparison between Financial Theory and Cooperative Game Theory in Risk Capital Allocation," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(1), pages 1-18, November.
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- Hougaard, Jens Leth & Smilgins, Aleksandrs, 2016. "Risk capital allocation with autonomous subunits: The Lorenz set," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 151-157.
- Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
- van Gulick, Gerwald & De Waegenaere, Anja & Norde, Henk, 2012. "Excess based allocation of risk capital," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 26-42.
- Tsanakas, Andreas, 2004. "Dynamic capital allocation with distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 223-243, October.
- Bogetoft, Peter & Hougaard, Jens Leth & Smilgins, Aleksandrs, 2016. "Applied cost allocation: The DEA–Aumann–Shapley approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 667-678.
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- Zaks, Yaniv & Tsanakas, Andreas, 2014. "Optimal capital allocation in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 48-55.
- Boonen, Tim J. & Tsanakas, Andreas & Wüthrich, Mario V., 2017. "Capital allocation for portfolios with non-linear risk aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 95-106.
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