Capital allocation à la Aumann–Shapley for non-differentiable risk measures

Francesca Centrone and Emanuela Rosazza Gianin

European Journal of Operational Research, 2018, vol. 267, issue 2, 667-675

Abstract: We study capital allocation rules satisfying suitable properties for convex and quasi-convex risk measures, by focusing in particular on a family of capital allocation rules based on the dual representation for risk measures and inspired by the Aumann–Shapley allocation principle. These rules extend some well known methods of capital allocation for coherent and convex risk measures to the case of non-Gateaux-differentiable risk measures. We also analyze the properties of the allocation principles here introduced and discuss their suitability in the quasi-convex context.

Keywords: Risk management; Capital allocation rules; Convex/quasi-convex risk measures; Aumann–Shapley value; Gateaux differential (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:267:y:2018:i:2:p:667-675

DOI: 10.1016/j.ejor.2017.11.051

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