This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (X j, j = 1, ... , n) when there are n correlated business lines. The joint distributions of X j and S (S = X1 + X2 + ⋯ + X n) are needed in the existing methods, but they are not required in the proposed method
The solution of a TU cooperative game can be a distribution of the value of the grand coalition, i.e...
Conditional tail expectations are often used in risk measurement and capital allocation. Conditional...
Cooperative game theory aims to predict the formation of coalitions, analyze the joint actions taken...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
How to allocate the probability of success resulting from the joint actions of a group of players? T...
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice...
Two extensions of the Shapley value are given. First we consider a probabilistic framework in which ...
Two extensions of the Shapley value are given. First we consider a probabilistic framework in which ...
The main goal of this paper is to introduce the probability game. On one hand, we analyze the Shaple...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
This is an Accepted Manuscript of a book chapter published by Routledge/CRC Press in Handbook of the...
A long debated but still open question in the game theory literature is that of how to extend the Sh...
Under its conventional positive interpretation, game theory predicts that the mixed strategy profile...
The Shapley value assigns each game in Characteristic form a result (contribution) for each player. ...
The solution of a TU cooperative game can be a distribution of the value of the grand coalition, i.e...
Conditional tail expectations are often used in risk measurement and capital allocation. Conditional...
Cooperative game theory aims to predict the formation of coalitions, analyze the joint actions taken...
This paper proposes using the Shapley values in allocating the total tail conditional expectation (T...
In this paper, we introduce two alternative extensions of the classical univariate Conditional-Tail-...
How to allocate the probability of success resulting from the joint actions of a group of players? T...
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice...
Two extensions of the Shapley value are given. First we consider a probabilistic framework in which ...
Two extensions of the Shapley value are given. First we consider a probabilistic framework in which ...
The main goal of this paper is to introduce the probability game. On one hand, we analyze the Shaple...
Significant changes in the insurance and financial markets are giving in-creasing attention to the n...
This is an Accepted Manuscript of a book chapter published by Routledge/CRC Press in Handbook of the...
A long debated but still open question in the game theory literature is that of how to extend the Sh...
Under its conventional positive interpretation, game theory predicts that the mixed strategy profile...
The Shapley value assigns each game in Characteristic form a result (contribution) for each player. ...
The solution of a TU cooperative game can be a distribution of the value of the grand coalition, i.e...
Conditional tail expectations are often used in risk measurement and capital allocation. Conditional...
Cooperative game theory aims to predict the formation of coalitions, analyze the joint actions taken...
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