IDEAS home Printed from https://ideas.repec.org/p/unm/umamet/2007041.html

Stable allocations of risk

Author

Listed:
  • Csóka, P.

    (Microeconomics & Public Economics)

  • Herings, P.J.J.

    (Microeconomics & Public Economics)

  • Kóczy, L.Á.

    (Microeconomics & Public Economics)

Abstract

Measuring risk can be axiomatized by the concept of coherent measures of risk. A risk environment specifies some individual portfolios' realization vectors and a coherent measure of risk. We consider sharing the risk of the aggregate portfolio by studying transferable utility cooperative games: risk allocation games. We show that the class of risk allocation games coincides with the class of totally balanced games. As a limit case the aggregate portfolio can have the same payoff in all states of nature. We prove that the class of risk allocation games with no aggregate uncertainty coincides with the class of exact games.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Csóka, P. & Herings, P.J.J. & Kóczy, L.Á., 2007. "Stable allocations of risk," Research Memorandum 041, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    • Handle: RePEc:unm:umamet:2007041
    DOI: 10.26481/umamet.2007041
    as

    Download full text from publisher

    File URL: https://cris.maastrichtuniversity.nl/ws/files/1108706/guid-d54781ed-dd83-407a-a284-fb0b5d9988d0-ASSET1.0.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.26481/umamet.2007041?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:unm:umamet:2007041. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Andrea Willems or Angie Figueroa Alarcon (email available below). General contact details of provider: https://edirc.repec.org/data/meteonl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.