Pooling Risk Games

Tzvi Alon and Moshe Haviv ()
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Tzvi Alon: Department of Statistics and Federmann Center for the Study of Rationality, The Hebrew University of Jerusalem, Jerusalem 9190501, Israel
Moshe Haviv: Department of Statistics and Federmann Center for the Study of Rationality, The Hebrew University of Jerusalem, Jerusalem 9190501, Israel

International Game Theory Review (IGTR), 2020, vol. 22, issue 03, 1-28

Abstract: There are numerous situations in which variability reduction is desirable. We examine cases where such reductions can be achieved by cooperating agents who share similar interests. Our goal is to quantify the contribution of each of the agents toward this reduction. We model this situation as a cooperative game in which the cost is defined as the minimal standard deviation the cooperating agents can achieve. We show that this game is subadditive and has a nonempty core. We derive special presentations for the Shapley and Banzhaf values.

Keywords: Cooperative game theory; pooling risk; risk measure (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S0219198919500154

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