Stable Allocations of Risk

Péter Csóka, P. Jean-Jacques Herings and László Kóczy ()

No 704, CERS-IE WORKING PAPERS from Institute of Economics, Centre for Economic and Regional Studies

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.

Keywords: Coherent Measures of Risk; Risk Allocation Games; Totally Balanced Games; Exact Games (search for similar items in EconPapers)
JEL-codes: C71 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2007-09
New Economics Papers: this item is included in nep-gth and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Stable allocations of risk (2009)
Working Paper: Stable Allocations of Risk (2008)
Working Paper: Stable allocations of risk (2007)
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